There is an issue in Ubuntu 16.04, that results in a lot of hassle running keychain with gpg-agent at least on WSL.

The reason is, that Ubuntu 16.04 installs gpg-agent version 2.1.x and gpg client version 1.4.x. As the net points out, both versions are not really compatible. Distros provide gpg2 packages for version 2.x. Keychain isn't aware of gpg2 and Ubuntu 16.04 mix both versions. Buhh...

Initial error

 * Adding N gpg key(s): ID ...
 * Error: Problem adding (is pinentry installed?); giving up

To overcome the situation we need gpg2 support in keychain. There is an issue #83 open for that. The workarounds are:

• Downgrade Ubuntu 16.04 to gpg-agent version 2.0.x or 1.4.x
• Switch using gpg2

To make the second work, here is a quick hack:

Install

sudo apt install gnupg2
sudo apt install make
mkdir -m 0700 ~/.keychain
git clone /~https://github.com/iaean/keychain ~/.keychain/keychain
cd ~/.keychain/keychain
make

Run

alias gpg=gpg2 # optional
gpgconf --launch gpg-agent # recommended
if [ -x ~/.keychain/keychain/keychain ]; then
  ~/.keychain/keychain/keychain --agents gpg,ssh ID ...
  source ~/.keychain/${NODENAME}-sh
  source ~/.keychain/${NODENAME}-sh-gpg
fi

Set an optional alias to switch to gpg2 without typing gpg2.
Starting gpg-agent before keychain is recommended because keychain dosn't set GPG_AGENT_INFO for version 1 compatibility on agent startup. But it does on inheritance...

Introduction to Keychain

Official documentation for Keychain can be found on the official Keychain wiki page.

Keychain helps you to manage ssh and GPG keys in a convenient and secure manner. It acts as a frontend to ssh-agent and ssh-add, but allows you to easily have one long running ssh-agent process per system, rather than the norm of one ssh-agent per login session.

This dramatically reduces the number of times you need to enter your passphrase. With keychain, you only need to enter a passphrase once every time your local machine is rebooted. Keychain also makes it easy for remote cron jobs to securely "hook in" to a long running ssh-agent process, allowing your scripts to take advantage of key-based logins.