Seriously Simple Podcasting: .htaccess line for FastCGI servers to enable password protection for feeds. This line to be added above the WordPress rules in the .htaccess file.

.htaccess

RewriteRule .* - [E=HTTP_AUTHORIZATION:%{HTTP:Authorization}]

I originally ask for the equivalent Nginx setting. Never mind, I found it.

fastcgi_param HTTP_AUTHORIZATION $http_authorization;
proxy_set_header HTTP_AUTHORIZATION $http_authorization;