diff --git a/tests/async_tests/test_interfaces.py b/tests/async_tests/test_interfaces.py
index f4ba9e40..8603a854 100644
--- a/tests/async_tests/test_interfaces.py
+++ b/tests/async_tests/test_interfaces.py
@@ -191,6 +191,36 @@ async def test_http_proxy(
         assert ext == {"http_version": "HTTP/1.1", "reason": "OK"}
 
 
+@pytest.mark.parametrize("proxy_mode", ["DEFAULT", "FORWARD_ONLY", "TUNNEL_ONLY"])
+@pytest.mark.parametrize("protocol,port", [(b"http", 80), (b"https", 443)])
+@pytest.mark.trio
+async def test_proxy_socket_does_not_leak_when_the_connection_hasnt_been_added_to_pool(
+    proxy_server: URL,
+    server: Server,
+    proxy_mode: str,
+    protocol: bytes,
+    port: int,
+):
+    method = b"GET"
+    url = (protocol, b"example.com", port, b"/")
+    headers = [(b"host", b"example.org")]
+
+    with pytest.warns(None) as recorded_warnings:
+        async with httpcore.AsyncHTTPProxy(proxy_server, proxy_mode=proxy_mode) as http:
+            for _ in range(100):
+                try:
+                    _ = await http.arequest(method, url, headers)
+                except httpcore.RemoteProtocolError:
+                    pass
+
+    # have to filter out https://github.com/encode/httpx/issues/825 from other tests
+    warnings_list = [
+        *filter(lambda warn: "asyncio" not in warn.filename, recorded_warnings.list)
+    ]
+
+    assert len(warnings_list) == 0
+
+
 @pytest.mark.anyio
 async def test_http_request_local_address(backend: str, server: Server) -> None:
     if backend == "auto" and lookup_async_backend() == "trio":
diff --git a/tests/sync_tests/test_interfaces.py b/tests/sync_tests/test_interfaces.py
index 1e128290..5d384c00 100644
--- a/tests/sync_tests/test_interfaces.py
+++ b/tests/sync_tests/test_interfaces.py
@@ -191,6 +191,36 @@ def test_http_proxy(
         assert ext == {"http_version": "HTTP/1.1", "reason": "OK"}
 
 
+@pytest.mark.parametrize("proxy_mode", ["DEFAULT", "FORWARD_ONLY", "TUNNEL_ONLY"])
+@pytest.mark.parametrize("protocol,port", [(b"http", 80), (b"https", 443)])
+
+def test_proxy_socket_does_not_leak_when_the_connection_hasnt_been_added_to_pool(
+    proxy_server: URL,
+    server: Server,
+    proxy_mode: str,
+    protocol: bytes,
+    port: int,
+):
+    method = b"GET"
+    url = (protocol, b"example.com", port, b"/")
+    headers = [(b"host", b"example.org")]
+
+    with pytest.warns(None) as recorded_warnings:
+        with httpcore.SyncHTTPProxy(proxy_server, proxy_mode=proxy_mode) as http:
+            for _ in range(100):
+                try:
+                    _ = http.request(method, url, headers)
+                except httpcore.RemoteProtocolError:
+                    pass
+
+    # have to filter out https://github.com/encode/httpx/issues/825 from other tests
+    warnings_list = [
+        *filter(lambda warn: "asyncio" not in warn.filename, recorded_warnings.list)
+    ]
+
+    assert len(warnings_list) == 0
+
+
 
 def test_http_request_local_address(backend: str, server: Server) -> None:
     if backend == "sync" and lookup_sync_backend() == "trio":
diff --git a/tests/utils.py b/tests/utils.py
index a6762bde..bb6a125d 100644
--- a/tests/utils.py
+++ b/tests/utils.py
@@ -1,8 +1,9 @@
 import contextlib
 import socket
 import subprocess
+import tempfile
 import time
-from typing import Tuple
+from typing import List, Tuple
 
 import sniffio
 
@@ -48,13 +49,34 @@ def host_header(self) -> Tuple[bytes, bytes]:
 def http_proxy_server(proxy_host: str, proxy_port: int):
 
     proc = None
-    try:
-        command = ["pproxy", "-l", f"http://{proxy_host}:{proxy_port}/"]
-        proc = subprocess.Popen(command)
 
-        _wait_can_connect(proxy_host, proxy_port)
+    with create_proxy_block_file(["example.com"]) as block_file_name:
+        try:
+            command = [
+                "pproxy",
+                "-b",
+                block_file_name,
+                "-l",
+                f"http://{proxy_host}:{proxy_port}/",
+            ]
+            proc = subprocess.Popen(command)
+
+            _wait_can_connect(proxy_host, proxy_port)
+
+            yield b"http", proxy_host.encode(), proxy_port, b"/"
+        finally:
+            if proc is not None:
+                proc.kill()
+
+
+@contextlib.contextmanager
+def create_proxy_block_file(blocked_domains: List[str]):
+    with tempfile.NamedTemporaryFile(delete=True, mode="w+") as file:
+
+        for domain in blocked_domains:
+            file.write(domain)
+            file.write("\n")
+
+        file.flush()
 
-        yield b"http", proxy_host.encode(), proxy_port, b"/"
-    finally:
-        if proc is not None:
-            proc.kill()
+        yield file.name