What protocol are you using? Are you using the same protocol in the browser? Does the proxy work in any other client, with use of the same protocol, that you are using in WinSCP?

Hello. I have a subscription to a proxy server. The operator provided me with the login and password settings. I enter them in the proxy section, but the connection to the remote server fails. There is no doubt about the work of the proxy. It works in a browser. The supplier assures that there are no problems on his side. What can I do?