MikTeX proxy settings

I assume you are using the newest version of MikTeX.

Step 1: Open the Update application

Step 2: Click on "Connection Settings"

Step 3: tick "Use a proxy server" and enter the details

If you install current version of MikTeX for a single user, Update (Admin) doesn't work, only MikTeX Console can be used.

In this case, go to Updates and select Change... under Install from dropdown. That's where the connection settings are hidden.

In the connection settings window where you can select the proxy server to use, write the URL of the proxy server but without the http:// in the beginning. At least this worked for me !