HTTP CONNECT proxies are supported by default in gRPC. The proxy address can be specified by the environment variables HTTP_PROXY, HTTPS_PROXY and NO_PROXY (or the lowercase versions thereof).
Currently, proxy support is implemented in the default dialer. It does one more handshake (a CONNECT handshake in the case of HTTP CONNECT proxy) on the connection before giving it to gRPC.
If the default proxy doesn't work for you, replace the default dialer with your custom proxy dialer. This can be done using WithDialer.