HTTP CONNECT proxies are supported by default in gRPC. The proxy address can be specified by the environment variables HTTPS_PROXY and NO_PROXY. Before Go 1.16, if the HTTPS_PROXY environment variable is unset, HTTP_PROXY will be used instead. (Note that these environment variables are case insensitive.)
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.