It seems that I can specify the proxy when I construct new HttpClient with:
HttpHost proxy = new HttpHost("someproxy", 8080);
DefaultProxyRoutePlanner routePlanner = new DefaultProxyRoutePlanner(proxy);
CloseableHttpClient httpclient = HttpClients.custom()
    .setRoutePlanner(routePlanner)
    .build();
taken from http://hc.apache.org/httpcomponents-client-ga/tutorial/html/connmgmt.html#d5e475
Is it possible to modify existing client's proxy settings.
You can create your own implementation of HttpRoutePlanner that will allow change of the HttpHost.
public class DynamicProxyRoutePlanner implements HttpRoutePlanner {
    private DefaultProxyRoutePlanner defaultProxyRoutePlanner = null;
    public DynamicProxyRoutePlanner(HttpHost host){
        defaultProxyRoutePlanner = new DefaultProxyRoutePlanner(host);
    }
    public void setProxy(HttpHost host){
        defaultProxyRoutePlanner = new DefaultProxyRoutePlanner(host);
    }
    public HttpRoute determineRoute(HttpHost target, HttpRequest request, HttpContext context) {
        return defaultProxyRoutePlanner.determineRoute(target,request,context); 
    }
}
Then you can use this DynamicProxyRoutePlanner in your code
HttpHost proxy = new HttpHost("someproxy", 8080);
DynamicProxyRoutePlanner routePlanner = new DynamicProxyRoutePlanner(proxy);
CloseableHttpClient httpclient = HttpClients.custom()
    .setRoutePlanner(routePlanner)
    .build();
//Any time change the proxy 
routePlanner.setProxy(new HttpHost("someNewProxy", 9090));
来源:https://stackoverflow.com/questions/25567973/apache-httpclient-4-3-5-set-proxy