I've done some additional research based on Måns Tånneryd`s answer. And the link he posted in his comment: PreAuthenticate Property of WebRequest - Problem.
First of all as described in his link the HttpWebRequest.PreAuthenticate Property does NOT send the Authentication header PRE authentication, but pre sends it in following requests, after Authentication. From MSDN:
true to send an HTTP Authorization header with requests after authentication has taken place; otherwise, false. The default is false.
So even with the PreAuthenticate
property set to true, we still need an WWW-Authenticate challenge with a 401 Unauthorized before anything happens. Now if we try to authenticate against github with the following code:
WebRequest request = (HttpWebRequest)WebRequest.Create("https://api.github.com/user");
request.Credentials = new NetworkCredential("githubUsername", "githubPassword");
var response = request.GetResponse();
An WebException
will be thrown, because we don't get a WWW-Authenticate challenge. If we capture this in Fiddler we will get the following:

However if we try this, with the exact same code, against a website that does return a WWW-Authenticate challenge we will see the following in Fiddler:

And the response will have the result as expected.