For other people landing on this page -
Another issue could be (If you are using Apache as your web server) is your httpd.conf or your sites-available/sitename.conf file needs editing.
Your web directory will need to allow the .htaccess file to override it's settings.
look for your web dir in the file - it will be in the bulk of the conf file or segregated into a VirtualHost section.
<Directory /path/to/site>
#add the following setting to allow .htaccess in your web dir to work
AllowOverride FileInfo
#other settings ---
</Directory>
This will allow you to set up WordPress URLs however you want, within WordPress.
***Edited - Thank You nietonfir For update. Use the least amount of privilege at first. If this doesn't work then replace AllowOverride FileInfo
with AllowOverride All
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