In my case I had a pem file which contained two certificates and an encrypted private key to be used in mutual SSL authentication.
So my pem file looked like this:
-----BEGIN CERTIFICATE-----
...
-----END CERTIFICATE-----
-----BEGIN RSA PRIVATE KEY-----
Proc-Type: 4,ENCRYPTED
DEK-Info: DES-EDE3-CBC,C8BF220FC76AA5F9
...
-----END RSA PRIVATE KEY-----
-----BEGIN CERTIFICATE-----
...
-----END CERTIFICATE-----
Here is what I did:
Split the file into three separate files, so that each one contains just one entry, 
starting with "---BEGIN.." and ending with "---END.." lines. Lets assume we now have three files: cert1.pem cert2.pem and pkey.pem
Convert pkey.pem into DER format using openssl and the following syntax:
openssl pkcs8 -topk8 -nocrypt -in pkey.pem -inform PEM -out pkey.der -outform DER
Note, that if the private key is encrypted you need to supply a password( obtain it from the supplier of the original pem file )
to convert to DER format, 
openssl will ask you for the password like this: "enter a pass phraze for pkey.pem: "
If conversion is successful, you will get a new file called "pkey.der"
Create a new java key store and import the private key and the certificates:
String keypass = "password";  // this is a new password, you need to come up with to protect your java key store file
String defaultalias = "importkey";
KeyStore ks = KeyStore.getInstance("JKS", "SUN");
// this section does not make much sense to me, 
// but I will leave it intact as this is how it was in the original example I found on internet:   
ks.load( null, keypass.toCharArray());
ks.store( new FileOutputStream ( "mykeystore"  ), keypass.toCharArray());
ks.load( new FileInputStream ( "mykeystore" ),    keypass.toCharArray());
// end of section..
// read the key file from disk and create a PrivateKey
FileInputStream fis = new FileInputStream("pkey.der");
DataInputStream dis = new DataInputStream(fis);
byte[] bytes = new byte[dis.available()];
dis.readFully(bytes);
ByteArrayInputStream bais = new ByteArrayInputStream(bytes);
byte[] key = new byte[bais.available()];
KeyFactory kf = KeyFactory.getInstance("RSA");
bais.read(key, 0, bais.available());
bais.close();
PKCS8EncodedKeySpec keysp = new PKCS8EncodedKeySpec ( key );
PrivateKey ff = kf.generatePrivate (keysp);
// read the certificates from the files and load them into the key store:
Collection  col_crt1 = CertificateFactory.getInstance("X509").generateCertificates(new FileInputStream("cert1.pem"));
Collection  col_crt2 = CertificateFactory.getInstance("X509").generateCertificates(new FileInputStream("cert2.pem"));
Certificate crt1 = (Certificate) col_crt1.iterator().next();
Certificate crt2 = (Certificate) col_crt2.iterator().next();
Certificate[] chain = new Certificate[] { crt1, crt2 };
String alias1 = ((X509Certificate) crt1).getSubjectX500Principal().getName();
String alias2 = ((X509Certificate) crt2).getSubjectX500Principal().getName();
ks.setCertificateEntry(alias1, crt1);
ks.setCertificateEntry(alias2, crt2);
// store the private key
ks.setKeyEntry(defaultalias, ff, keypass.toCharArray(), chain );
// save the key store to a file         
ks.store(new FileOutputStream ( "mykeystore" ),keypass.toCharArray());
(optional) Verify the content of your new key store:
keytool -list -keystore mykeystore -storepass password
Keystore type: JKS Keystore provider: SUN
Your keystore contains 3 entries
cn=...,ou=...,o=.., Sep 2, 2014, trustedCertEntry, Certificate
  fingerprint (SHA1): 2C:B8: ...
importkey, Sep 2, 2014, PrivateKeyEntry, Certificate fingerprint
  (SHA1): 9C:B0: ...
cn=...,o=...., Sep 2, 2014, trustedCertEntry, Certificate fingerprint
  (SHA1): 83:63: ...
(optional) Test your certificates and private key from your new key store against your SSL server:
( You may want to enable debugging as an VM option:  -Djavax.net.debug=all )
        char[] passw = "password".toCharArray();
        KeyStore ks = KeyStore.getInstance("JKS", "SUN");
        ks.load(new FileInputStream ( "mykeystore" ), passw );
        KeyManagerFactory kmf = KeyManagerFactory.getInstance("SunX509");
        kmf.init(ks, passw);
        TrustManagerFactory tmf = TrustManagerFactory.getInstance(TrustManagerFactory.getDefaultAlgorithm());
        tmf.init(ks);
        TrustManager[] tm = tmf.getTrustManagers();
        SSLContext sclx = SSLContext.getInstance("TLS");
        sclx.init( kmf.getKeyManagers(), tm, null);
        SSLSocketFactory factory = sclx.getSocketFactory();
        SSLSocket socket = (SSLSocket) factory.createSocket( "192.168.1.111", 443 );
        socket.startHandshake();
        //if no exceptions are thrown in the startHandshake method, then everything is fine..
Finally register your certificates with    HttpsURLConnection if plan to use it:
        char[] passw = "password".toCharArray();
        KeyStore ks = KeyStore.getInstance("JKS", "SUN");
        ks.load(new FileInputStream ( "mykeystore" ), passw );
        KeyManagerFactory kmf = KeyManagerFactory.getInstance("SunX509");
        kmf.init(ks, passw);
        TrustManagerFactory tmf = TrustManagerFactory.getInstance(TrustManagerFactory.getDefaultAlgorithm());
        tmf.init(ks);
        TrustManager[] tm = tmf.getTrustManagers();
        SSLContext sclx = SSLContext.getInstance("TLS");
        sclx.init( kmf.getKeyManagers(), tm, null);
        HostnameVerifier hv = new HostnameVerifier()
        {
            public boolean verify(String urlHostName, SSLSession session)
            {
                if (!urlHostName.equalsIgnoreCase(session.getPeerHost()))
                {
                    System.out.println("Warning: URL host '" + urlHostName + "' is different to SSLSession host '" + session.getPeerHost() + "'.");
                }
                return true;
            }
        };
        HttpsURLConnection.setDefaultSSLSocketFactory( sclx.getSocketFactory() );
        HttpsURLConnection.setDefaultHostnameVerifier(hv);