Why don't you download the key from the jump server to the local machine?

Other way would be to use something like ssh -s sftp user@server2 as SFTP server:
https://winscp.net/eng/docs/ui_login_sftp

It's similar to the technique for using sudo:
https://winscp.net/eng/docs/faq_su
(while you need to use ssh to execute SFTP server on another server, instead of the sudo to execute elevated SFTP server on the server itself).

I used public/private key instead of username/password, but it is the same issue.

Hi,

This is my situation:
PC1 Win7-PC with WinSCP, Putty
Server1 Unix,
Server2 Unix

Normaly I do the following steps:
From PC1 login with Putty and username1/password to Server1
From Server1 going with ssh username2@Server2 to server2
For this second step I do not need the password for username2 (and I even do not know the password if I come via Server1. username2 is kind of a technical user.
If I try to connect directly from PC1 to Server2 I need to enter the password (but I dont know it), so Server1 is kind of a "login-server".

Now I tried to connect from PC1 to Server2 via Server1 with WinSCP following the tunneling-guide

First WinSCP is asking for the password for username1 --> no problem
Then I am asked for the password for username2 -->This is my problem.

Has anyone an idea what I am doing wrong?