If you generated a Putty private key (.ppk) in Windows and you want to use it with an OpenSSH or SFTP client (for example Terminal, Nautilus, GFTP in Linux),  you have to convert it to OpenSSH's private key format, because putty private key format (.ppk) is not compatible with OpenSSH.

Okay, open the Puttygen and load the desired private key.

Go to Conversions>Export OpenSSH key

and export it. Done!