Is this issue possible to reproduce? It would be helpful to provide a snippet that can reproduce it, then it's easier to investigate this issue.

Here is a sample of how I use proxies:

client := http.Client{
	Transport: &http.Transport{
		Proxy: func(request *http.Request) (url *url.URL, err error) {
			// Wrong proxy
			return url.Parse("http://103.69.216.125:8080")
		},
	},
	Timeout: 10 * time.Second,
}

resp, err := client.Get("https://httpbin.org/get")

if err != nil {
	fmt.Println(err)
	return
}

fmt.Printf("Status code: %d", resp.StatusCode)

I put voluntarily a free proxy (from spys.ru) which had a bad uptime (maybe the proxy is dead).
So here the response is : Get "https://httpbin.org/get": context deadline exceeded (Client.Timeout exceeded while awaiting headers)

The thing is, it waits 10 seconds to return that the proxy is bad.
Why not improving the proxy testing, instead of waiting the client timeout to throw the error?

The exemple here may seem a little silly. But when I use a lot of proxies and I run a good amount of requests in multiples workers, when a proxy is down, it slow down everything by waiting the page timeout.

Maybe should we implement a timeout to test proxy before (I don't know how we could do that).
And also, I propose to create a better proxy implementation (if possible), which could looks like:

// Create a proxy
myProxy := proxy.New(protocol, host, port)
	
// Optionally, putting a authentication
myProxy.setAuthentication(username, password)
	 
// Then linking our proxy to our transport
transport := http.Transport{
	Proxy: myProxy,
}
	
// Or to the client directly, which could result in gain of time 
// if we don't have other settings to edit in the transport
client.setProxy(myProxy)

I'd like to get a thing like this, it looks more structured than just putting our proxy as parsed URL to the transport.

Thanks for providing more information.

/cc @bradfitz @rsc per owners.