I guess I won't be able to use the "Paste key" option to verify the server, as the hosting company don't provide they host key fingerprint. I just clicked "Yes" and connected normally.

I believe the the second article linked in my previous post covers all options you have.
Particularly this section:
https://winscp.net/eng/docs/faq_hostkey#obtaining

You cannot generate the host key.
As the first article says:

A host [private] key is generated when the SSH server is set up.

I talked to SiteGround, and it seems that many of their support staff are not sure what a host key fingerprint is. As far as I can tell, they do not have access to that information and are unable to provide it to their customers.

If I want to use the "Paste key" option to verify the server I am connecting to, would I have to generate my own key pairs using PuTTY, or something like that?

I have a lot to learn about public-key cryptography!

Thanks for pointing me in the right direction Martin. 👍🏻

Daniel

You are confirming server's public key.
That has nothing to do with your private key.
See https://winscp.net/eng/docs/ssh_keys
And https://winscp.net/eng/docs/faq_hostkey

I am trying to use the "Paste key" option to verify the authenticity of the server that I am connecting to (my SiteGround server).



When I copy my private key onto the clipboard, then click on "Paste key", I get the following error message:



I just had SiteGround support double check what I was doing and they couldn't see any obvious mistakes on my end.

Any ideas why this is failing?