diff --git a/src/urllib3/exceptions.py b/src/urllib3/exceptions.py
index d69958d5df..232469bd13 100644
--- a/src/urllib3/exceptions.py
+++ b/src/urllib3/exceptions.py
@@ -289,7 +289,14 @@ class ProxySchemeUnknown(AssertionError, URLSchemeUnknown):
     # TODO(t-8ch): Stop inheriting from AssertionError in v2.0.
 
     def __init__(self, scheme):
-        message = "Not supported proxy scheme %s" % scheme
+        # 'localhost' is here because our URL parser parses
+        # localhost:8080 -> scheme=localhost, remove if we fix this.
+        if scheme == "localhost":
+            scheme = None
+        if scheme is None:
+            message = "Proxy URL had no scheme, should start with http:// or https://"
+        else:
+            message = f"Proxy URL had unsupported scheme {scheme}, should use http:// or https://"
         super(ProxySchemeUnknown, self).__init__(message)
 
 
diff --git a/test/with_dummyserver/test_proxy_poolmanager.py b/test/with_dummyserver/test_proxy_poolmanager.py
index 67cee77a58..737e5f7afa 100644
--- a/test/with_dummyserver/test_proxy_poolmanager.py
+++ b/test/with_dummyserver/test_proxy_poolmanager.py
@@ -23,6 +23,7 @@
     ConnectTimeoutError,
     MaxRetryError,
     ProxyError,
+    ProxySchemeUnknown,
     ProxySchemeUnsupported,
     SSLError,
 )
@@ -502,6 +503,27 @@ def test_scheme_host_case_insensitive(self):
             r = http.request("GET", "%s/" % self.https_url.upper())
             assert r.status == 200
 
+    @pytest.mark.parametrize(
+        "url, error_msg",
+        [
+            (
+                "127.0.0.1",
+                "Proxy URL had no scheme, should start with http:// or https://",
+            ),
+            (
+                "localhost:8080",
+                "Proxy URL had no scheme, should start with http:// or https://",
+            ),
+            (
+                "ftp://google.com",
+                "Proxy URL had unsupported scheme ftp, should use http:// or https://",
+            ),
+        ],
+    )
+    def test_invalid_schema(self, url, error_msg):
+        with pytest.raises(ProxySchemeUnknown, match=error_msg):
+            proxy_from_url(url)
+
 
 @pytest.mark.skipif(not HAS_IPV6, reason="Only runs on IPv6 systems")
 class TestIPv6HTTPProxyManager(IPv6HTTPDummyProxyTestCase):