You can achieve this using OpenSSL. (Mac OSX includes OpenSSL within Terminal.app)

You should have the following files (Filenames are just for reference)

  • Your generated CSR (cert.csr)
  • Your Private Key File (key.pem)
  • Your SSL certificate provided by the CA (cert.cer)
  • The Intermediate Certificate provided by the CA (CA.cer)

Using OpenSSL run the following command

openssl pkcs12 -export -in cert.cer -inkey key.pem -out certificate.pfx -certfile CA.cer

This should output a certificate.pfx file.