Proxy Server is a type of server which acts as intermediary or gateway between users and the internet.It is usually used by the users who want to access the websites which are restricted in their country or network.
The working process of a proxy server is quite easy to understand. The proxy server recieves a web request from a user , terminates the connection and again establishes a new connection with the user's target website using the proxy's server ip address instead of the users and finally forward the obtained data to the user.
Let us assume you want to access information from example.com and it is restricted in your network to send any request to this website. So now you will use here a proxy server. The proxy server here intercept your request which you send to example.com,shield your ip address by its own ip address and establish a connection with example.com.
Your ip address will be hidden by the proxy server but it itself will be familiar with your IP address. And as it doesn't establish the encrypted connection , so there is no assuarance of securing your any sensitive data . Thus proxy server is not considered as so secure.