[SalesForce] This org appears to have a problem with its OAuth configuration. Reason: invalid_grant – audience is invalid

Error while trying to authorize an org through JWT from SFDX CLI on Windows.

sfdx force:auth:jwt:grant --clientid <myclientid> --jwtkeyfile server.key --instanceurl https://mysandbox.my.salesforce.com --username <myusername> --setalias PraveenDevJWT

I am trying using the above mentioned SFDX CLI command. I have made sure that the user I am using is assigned to the Profile to which the connected app is assigned to.

Here is the error that I see:

ERROR: This org appears to have a problem with its OAuth configuration. Reason: invalid_grant – audience is invalid

username: myusername,

clientId: myclientid,

loginUrl: 'Not Specified'

privateKey: server.key.

Try this:

Verify the OAuth configuration for this org. For JWT:

Ensure the private key is correct and the cert associated with the connected app has not expired.

Ensure the following OAuth scopes are configured [api, refresh_token, offline_access].

Ensure the username is assigned to a profile or perm set associated with the connected app.

Ensure the connected app is configured to pre-authorize admins.

The error message says loginUrl: which I reckon can be the issue, but I am not sure how to set it (if it is really required).
Can anyone please help with this?
Thanks.