A proxy server allows you to connect to SSH servers in a private network or behind a NAT or firewall. The proxy server becomes a relay between you and the SSH server. It is a common practice to provide extra security to the SSH server by not exposing it directly to the public network.
PuTTY supports connecting to an SSH server via HTTP, SOCKS(4/5), Telnet, and Local proxies. PuTTY will tunnel the connection through any of these proxy servers to connect to the SSH server.
Related: How to create SOCKS proxy on Windows
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