I just cited below from PuTTY manual:
Selecting the Type of Key
Before generating a key pair using PuTTYgen, you need to select which
type of key you need. PuTTYgen currently supports three types of key:
An RSA key for use with the SSH-1 protocol.
An RSA key for use with the SSH-2 protocol.
A DSA key for use with the SSH-2 protocol.
The SSH-1 protocol only supports RSA keys; if you will be connecting
using the SSH-1 protocol, you must select the first key type or your
key will be completely useless.
The SSH-2 protocol supports more than one key type. The two types
supported by WinSCP are RSA and DSA.
The WinSCP developers strongly recommend you use RSA. DSA has an
intrinsic weakness which makes it very easy to create a signature
which contains enough information to give away the private key! This
would allow an attacker to pretend to be you for any number of future
sessions. WinSCP’s implementation has taken very careful precautions
to avoid this weakness, but we cannot be 100% certain we have managed
it, and if you have the choice we strongly recommend using RSA keys
If you really need to connect to an SSH server which only supports
DSA, then you probably have no choice but to use DSA. If you do use
DSA, we recommend you do not use the same key to authenticate with
more than one server.
Reference link: https://winscp.net/eng/docs/ui_puttygen#generating