I could follow the lesson to the dot and it did work! Thank you. But needed to generate DER version of the certificate and key file using the following commands -
openssl x509 -in -certificate.pem.crt -out -certificate.pem.der -outform DER
openssl rsa -in -private.pem.key -out -private.pem.der -outform DER
I am using ESP8266 with esp8266-20191220-v1.12.bin and did successfully connected to AWS IOT.