Where can I set proxy for SBT in Intellij IDEA?

Add -Dhttp.proxyHost=<proxy_server> -Dhttp.proxyPort=<proxy_port> to VM parameters

Read documentation for more info

Basically there are three ways of setting the proxy. Each of them seems to affect a different part of the IDE.

For all following three methods I recommend setting both, http and https, since most connections to repos are established using https nowadays:

-Dhttp.proxyHost=yourProxyAdress 
-Dhttp.proxyPort=yourPort 
-Dhttp.proxyUser=yourUsername 
-Dhttp.proxyPassword=yourPassword 
-Dhttps.proxyHost=yourProxyAdress
-Dhttps.proxyPort=yourPort 
-Dhttps.proxyUser=yourUsername 
-Dhttps.proxyPassword=yourPassword 

1. Build Tools

Setting the proxy under "Build, Execution, Deployment" > "Build Tools" > "SBT" > "VM parameters" affects the SBT process that is executed after editing the build.sbt file and refreshing the latter. Also, this is used for indexing (and therefore auto completion). This setting will also affect the download of SBT itself in the version you selected during project setup.

2. Other Settings

Aditionally, I used the setting under "Other Settings" > "SBT" > "VM parameters"

3. Setting the proxy globally

Another way would be to set the proxy settings globally with your JAVA_OPTS as described here.