diff --git a/ChangeLog b/ChangeLog
index ba574c4..226bbd3 100644
--- a/ChangeLog
+++ b/ChangeLog
@@ -6,6 +6,7 @@ ChangeLog
   - Supporting http-basic auth in WebSocketApp (#143)
   - fix failer of test.testInternalRecvStrict(#141)
   - skip utf8 validation by skip_utf8_validation argument (#137)
+  - WebsocketProxyException will be raised if we got error about proxy.(#138)
 
 - 0.23.0
 
diff --git a/websocket/_core.py b/websocket/_core.py
index f2accb8..639c391 100644
--- a/websocket/_core.py
+++ b/websocket/_core.py
@@ -544,9 +544,13 @@ class WebSocket(object):
 
         self._send(connect_header)
 
-        status, resp_headers = self._read_headers()
+        try:
+            status, resp_headers = self._read_headers()
+        except Exepiton as e:
+            raise WebSocketProxyException(str(e))
+
         if status != 200:
-            raise WebSocketException("failed CONNECT via proxy")
+            raise WebSocketProxyException("failed CONNECT via proxy status: " + str(status))
 
     def _get_resp_headers(self, success_status = 101):
         status, resp_headers = self._read_headers()
diff --git a/websocket/_exceptions.py b/websocket/_exceptions.py
index b4ef992..9b1791d 100644
--- a/websocket/_exceptions.py
+++ b/websocket/_exceptions.py
@@ -56,3 +56,10 @@ class WebSocketTimeoutException(WebSocketException):
     """
     pass
 
+class WebSocketProxyException(WebSocketException):
+    """
+    WebSocketProxyException will be raised when proxy error occured.
+    """
+    pass
+
+