It's a PEM-encoded, unencrypted PKCS#8 file. You can inspect it with `openssl pkcs8 -nocrypt -in <your_file.p8>`, but you'll need a newer version of OpenSSL than the one that ships with El Capitan (I'm not sure which version comes with Sierra). I'm not sure how to import it into the Keychain, but I also haven't run into a situation where having it in the Keychain would be helpful (other than just for storage).
Hope that helps!
Member Center said:
Download, Install and Backup
Download your Authentication Key to your Mac, then double click the .key file to install in Keychain Access. Make sure to save a back up of your key in a secure place. It will not be presented again and cannot be retrieved at a later time.
How to save it there on macOS Sierra?