A proxy is an interception service that sits between the client and the server. When the proxy is deployed close to the client, it is called a forward proxy. When the proxy is deployed closer to the server such that the clients do not know about the origin of the server, it is known as a reverse proxy. A database proxy (ProxySQL, MaxScale, etc.) is basically a reverse proxy built to provide benefits like security, scalability, high availability, etc. for databases, key-value stores, message queues, etc.
To learn more please download this whitepaper.