The solution that worked for me.
Open Windows PowerShell ISE on your computer as an administrator.
Run the following commands:
Connect-AzureRmAccount -TenantId 00000000-ede9-4ad4-827d-000000000000
$pfxFilePath = 'C:\certificate_name.pfx'
$pwd = ''
$flag = [System.Security.Cryptography.X509Certificates.X509KeyStorageFlags]::Exportable
$collection = New-Object System.Security.Cryptography.X509Certificates.X509Certificate2Collection
$collection.Import($pfxFilePath, $pwd, $flag)
$pkcs12ContentType = [System.Security.Cryptography.X509Certificates.X509ContentType]::Pkcs12
$clearBytes = $collection.Export($pkcs12ContentType)
$fileContentEncoded = [System.Convert]::ToBase64String($clearBytes)
$secret = ConvertTo-SecureString -String $fileContentEncoded -AsPlainText –Force
$secretContentType = 'application/x-pkcs12'
Set-AzureKeyVaultSecret -VaultName 'KeyVaultName' -Name 'NewSecretName' -SecretValue $Secret -ContentType $secretContentType
After you finish the Certificate should show up in the KeyVault under Secrets.