We were using a SSH item on our Zabbix-Server. When we moved that check to our Zabbix-Proxy it didn't work and resulted in the "Callback Returned Error" (see ZBX-9817, ZBX-15565, ZBX-10166). Everything was the same (OS, Zabbix Server/Proxy version, libssh2 version etc), the key worked fine when SSH'ing manually.

However, when doing an md5sum between the id_rsa on both servers, there was a difference.
The id_rsa on the server node had an empty line after "----END RSA PRIVATE KEY----" where the proxy didn't. After adding in an empty line after the end tag, the item started working.

So, it appears that this newline is needed in order to get things working? Perhaps this is an upstream issue with libssh2 but otherwise may be worth investigating and mentioning this in the documentation if this finding is correct.