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