HTTPDigestAuth
doesn't authenticate you with the proxy, it authenticates you with the website. Right now Requests doesn't have any built-in way of using Digest Auth with a proxy, and there are no plans to add built-in support.
You'll have to either use with the proxy (by putting your credentials in the proxy URL, e.g. proxies={'http': 'http://user:password@domain.com'}
), or write your own authentication handler for Proxy Digest Auth.