iOS Enterprise distribution certificate creation does not create a private key

When creating a certificate for Entreprise Distribution, no private keys are created. Leading to show this message on XCode compilation : "... but their private keys are not installed."

I created the certificate this way :

Keychain Access > Certificate Assistant > Request a Certificate From a Certificate Authority
I put our account email adress and our account owner name as informations, then create the certificate.
In "https://developer.apple.com/" portal (with our Enterprise account) i create a new certificate of type "In-House and Ad Hoc" with the previous generated certificate.
Then i download this certificate and install it on the previous Mac (used to generate the certificate in first place)

That's all. In keychain access, when i right click on the installed certificate and do "export" the ".p12" possibility is grey.

Thanks in advance for the answers.

Solution

The key is actually resides in you keychain. There are multiple keychains available for your user like below:

Just make sure you are adding certificate to the same keychain using which you created the CSR file.