A proxy that looks fine on a list can still be dead, slow, or leaking your real IP. Testing before you rely on it takes under a minute.
The basic connectivity test
Configure the proxy in your browser or a command-line tool and try to load a simple page. If it times out or refuses the connection, the proxy is offline — this happens constantly with free proxies and isn't unusual.
Checking what it reveals
Visit an IP-checking page through the proxy and compare the IP shown to your real one. If your real IP still appears anywhere in the response, the proxy isn't hiding you the way you think it is.
Using a dedicated checker
A proxy checker tool (like the one on this site) automates this: it sends a request through the proxy, measures response time, and reports the detected anonymity level in one step, which is faster than testing manually every time you grab a new proxy.