diff --git a/changelog/2791.feature.rst b/changelog/2791.feature.rst
new file mode 100644
index 0000000000..96c68784a1
--- /dev/null
+++ b/changelog/2791.feature.rst
@@ -0,0 +1 @@
+Emit ``InsecureProxyWarning`` when the proxy connection is not verified but the proxy.scheme is https
\ No newline at end of file
diff --git a/docs/advanced-usage.rst b/docs/advanced-usage.rst
index 36a51e6725..129dd0fca2 100644
--- a/docs/advanced-usage.rst
+++ b/docs/advanced-usage.rst
@@ -509,6 +509,12 @@ be resolved in different ways.
     verification enabled. Follow the :ref:`certificate verification <ssl>`
     guide to resolve this warning.
 
+* :class:`~exceptions.InsecureProxyWarning`
+    This happens when a request is made to an HTTPS Proxy without certificate
+    verification enabled or the proxy connection is not verified.
+    Follow the :ref:`certificate verification <ssl>` guide to
+    resolve this warning.
+
 .. _disable_ssl_warnings:
 
 Making unverified HTTPS requests is **strongly** discouraged, however, if you
diff --git a/src/urllib3/connectionpool.py b/src/urllib3/connectionpool.py
index 52bb8657fc..372e7b61cc 100644
--- a/src/urllib3/connectionpool.py
+++ b/src/urllib3/connectionpool.py
@@ -29,6 +29,7 @@
     EmptyPoolError,
     FullPoolError,
     HostChangedError,
+    InsecureProxyWarning,
     InsecureRequestWarning,
     LocationValueError,
     MaxRetryError,
@@ -1098,11 +1099,21 @@ def _validate_conn(self, conn: BaseHTTPConnection) -> None:
         if conn.is_closed:
             conn.connect()
 
-        # TODO revise this, see https://github.com/urllib3/urllib3/issues/2791
+        if conn.proxy and conn.proxy.scheme == "https" and not conn.proxy_is_verified:
+            warnings.warn(
+                (
+                    f"Unverified HTTPS request is being made using proxy host '{conn.proxy.host}'. "
+                    "Adding certificate verification is strongly advised. See: "
+                    "https://urllib3.readthedocs.io/en/latest/advanced-usage.html"
+                    "#tls-warnings"
+                ),
+                InsecureProxyWarning,
+            )
+
         if not conn.is_verified and not conn.proxy_is_verified:
             warnings.warn(
                 (
-                    f"Unverified HTTPS request is being made to host '{conn.host}'. "
+                    f"Unverified HTTPS request is being made to host '{conn._tunnel_host if conn._tunnel_host else conn.host}'. "  # type: ignore[attr-defined]
                     "Adding certificate verification is strongly advised. See: "
                     "https://urllib3.readthedocs.io/en/latest/advanced-usage.html"
                     "#tls-warnings"
diff --git a/src/urllib3/exceptions.py b/src/urllib3/exceptions.py
index 5bb9236961..9816ac20e6 100644
--- a/src/urllib3/exceptions.py
+++ b/src/urllib3/exceptions.py
@@ -214,6 +214,10 @@ class InsecureRequestWarning(SecurityWarning):
     """Warned when making an unverified HTTPS request."""
 
 
+class InsecureProxyWarning(SecurityWarning):
+    """Warned when using an unverified proxy."""
+
+
 class NotOpenSSLWarning(SecurityWarning):
     """Warned when using unsupported SSL library"""
 
diff --git a/test/with_dummyserver/test_no_ssl.py b/test/with_dummyserver/test_no_ssl.py
index 9a28119abf..96216ac5fa 100644
--- a/test/with_dummyserver/test_no_ssl.py
+++ b/test/with_dummyserver/test_no_ssl.py
@@ -9,10 +9,10 @@
 
 import urllib3
 from dummyserver.testcase import (
-    HTTPSHypercornDummyServerTestCase,
+    HypercornDummyProxyTestCase,
     HypercornDummyServerTestCase,
 )
-from urllib3.exceptions import InsecureRequestWarning
+from urllib3.exceptions import InsecureProxyWarning, InsecureRequestWarning
 
 from ..test_no_ssl import TestWithoutSSL
 
@@ -24,13 +24,32 @@ def test_simple(self) -> None:
             assert r.status == 200, r.data
 
 
-class TestHTTPSWithoutSSL(HTTPSHypercornDummyServerTestCase, TestWithoutSSL):
+class TestHTTPSWithoutSSL(HypercornDummyProxyTestCase, TestWithoutSSL):
     def test_simple(self) -> None:
         with urllib3.HTTPSConnectionPool(
-            self.host, self.port, cert_reqs="NONE"
+            self.https_host, self.https_port, cert_reqs="NONE"
         ) as pool:
             with pytest.warns(InsecureRequestWarning):
                 try:
                     pool.request("GET", "/")
                 except urllib3.exceptions.SSLError as e:
                     assert "SSL module is not available" in str(e)
+
+    def test_simple_proxy(self) -> None:
+        https_proxy_url = f"https://{self.proxy_host}:{int(self.https_proxy_port)}"
+        with urllib3.ProxyManager(https_proxy_url, cert_reqs="NONE") as pool:
+            with pytest.warns((InsecureProxyWarning, InsecureRequestWarning)) as record:
+                try:
+                    pool.request("GET", "https://urllib3.readthedocs.io")
+                except urllib3.exceptions.SSLError as e:
+                    assert "SSL module is not available" in str(e)
+            assert "localhost" in str(record[0].message)
+            assert "urllib3.readthedocs.io" in str(record[1].message)
+
+            with pytest.warns((InsecureProxyWarning, InsecureRequestWarning)) as record:
+                try:
+                    pool.request("GET", f"http://{self.http_host}:{self.http_port}")
+                except urllib3.exceptions.SSLError as e:
+                    assert "SSL module is not available" in str(e)
+            assert "localhost" in str(record[0].message)
+            assert self.http_host in str(record[1].message)