This is general information, not legal advice, but it's worth understanding the broad shape of where proxy use sits legally before assuming everything is automatically fine.
Using a proxy itself
In most jurisdictions, using a proxy server is not illegal in itself — it's a standard networking tool used for legitimate reasons by individuals and businesses every day, no different from using a VPN.
Where it gets risky
What you do through the proxy is what actually creates legal exposure: unauthorized access to systems, violating a website's terms of service at scale, evading a legitimate ban, or scraping and republishing copyrighted data without permission can all carry legal risk regardless of whether a proxy was involved.
Terms of service matter separately
Even where something isn't illegal, it can still violate a specific site's terms of service, which is a contractual issue rather than a criminal one, but can still result in account bans or civil claims depending on what's actually being done.
When to actually get advice
If you're building something commercial around scraping or automated access at any real scale, a quick conversation with a lawyer familiar with your jurisdiction and use case is worth far more than general guidance like this.