NOTE: As of 2019 this answer became non-valid for later EntityFramework versions.

You can specify the column order in the attributes, for instance:

public class MyEntity
{
    [Key, Column(Order=0)]
    public int MyFirstKeyProperty { get; set; }

    [Key, Column(Order=1)]
    public int MySecondKeyProperty { get; set; }

    [Key, Column(Order=2)]
    public string MyThirdKeyProperty { get; set; }

    // other properties
}

If you are using the Find method of a DbSet you must take this order for the key parameters into account.

To complete the correct answer submitted by Slauma, you can use the HasKey method to specify an order for composite primary keys as well:

public class User
{        
    public int UserId { get; set; }       
    public string Username { get; set; }        
}        

public class Ctp5Context : DbContext
{
    public DbSet<User> Users { get; set; }        

    protected override void OnModelCreating(ModelBuilder modelBuilder)
    {
        modelBuilder.Entity<User>().HasKey(u => new 
        { 
            u.UserId, 
            u.Username 
        });
    }
}

If, like me, you prefer to use a configuration file you can do that in this way (based on Manavi s example):

public class User
{
    public int UserId { get; set; }
    public string Username { get; set; }
}  

public class UserConfiguration : EntityTypeConfiguration<User>
{
    public UserConfiguration()
    {
        ToTable("Users");
        HasKey(x => new {x.UserId, x.Username});
    }
}

Obviously you have to add the configuration file to your context:

public class Ctp5Context : DbContext
{
    public DbSet<User> Users { get; set; }        

    protected override void OnModelCreating(ModelBuilder modelBuilder)
    {
         modelBuilder.Configurations.Add(new UserConfiguration());
    }
}

In EF Core 7.0 a new attribute for classes [PrimaryKey] was introduced.

Example:

[PrimaryKey(nameof(FirstName),nameof(LastName))]
public class Person
{
    public string FirstName { get; set; }

    public string LastName { get; set; }

    public string SomeProperty { get; set; }
}

This way, you don t have to use the fluent-api again.

Use as a anonymous object:

modelBuilder.Entity<UserExamAttemptQuestion>().ToTable("Users").HasKey(o => new { o.UserId, o.Username });