Does Windows Server 2012 R2 have native SFTP support?
I see a role
FTP Server but it doesn't say whether this includes SFTP.
Microsoft IIS server does not support SFTP (or SSH) at all, on any version of IIS or Windows.
IIS supports secure FTP (FTPS or FTP over TLS/SSL) though. It's a different (incompatible) protocol than SFTP, but most "FTP" clients support both SFTP and FTPS.
When setting up an FTPS server, make sure you disable plain (unencrypted) FTP!
See (my) guide on Installing Secure FTP Server on Windows using IIS.
Microsoft recently released OpenSSH for Windows (Releases and Downloads). It's now available as optional feature on Windows 10 version 1803 and newer. It can also be manually installed on older versions of Windows.
I have prepared a guide for setting up SSH/SFTP server on Windows using this Microsoft build of OpenSSH.
No. Microsoft offers an FTP over SSL (FTPS) solution but does not currently provide a solution for securing FTP traffic using FTP over SSH (SFTP)
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