Unless I'm missing something, I do not think that's what I've asked you for.

I've tried to connect with two different cloud servers within the same machine, and I was getting the same problem.

I've naturally meant, if you can connect with any other client using the same protocol from the same local machine.

From another Computer, outside the domain under firewall, yes it's possible to make the communication without any problem.

Typically, one does not need to enable any ports for outgoing connections.
But if the firewall restricts outgoing connection, make sure that the port you are trying to connect to is enabled.
Are you able to connect with any other client using the same protocol?

Dear All,
Kindly note that I've installed WinSCP and created a script for a customer to sync data with his server, the customer is having Kaspersky Endpoint Firewall installed on premises, and whenever we are trying to establish a connection with the cloud server, the connection failed, knowing that using a PC that is not on the domain, is able to perform the connection successfully without any issue. Could you please let me know if there is any specific Port for WinSCP that must be enabled in order to make the connection. Or what are the other actions.