During the certificate enrollment, the browser generates your private key. After you submit the CSR (Certificate Signing Request), the browser creates a key pair and stores it in the local key database.
You can apply for a S/MIME certificate only using the following browsers:
- Internet Explorer on Windows
- Firefox ESR version 68 and earlier on Mac. Newer versions (from 69 onwards) don’t offer keygen support.
Note: Safari on Mac no longer supports key generation.
Source: Sectigo’s Knowledge Base