diff --git a/scripts/install.ps1 b/scripts/install.ps1
index 11b388beb..4ed6fa4a4 100644
--- a/scripts/install.ps1
+++ b/scripts/install.ps1
@@ -3,6 +3,17 @@ if (!$p.IsInRole([System.Security.Principal.WindowsBuiltInRole]::Administrator))
     throw 'This script requires admin privileges to run and the current Windows PowerShell session is not running as Administrator. Start Windows PowerShell by using the Run as Administrator option, and then try running the script again.'
 }
 [Net.ServicePointManager]::SecurityProtocol = 'tls12, tls';
-$version = (New-Object System.Net.WebClient).DownloadString("https://download.newrelic.com/install/newrelic-cli/currentVersion.txt").Trim();
-(New-Object System.Net.WebClient).DownloadFile("https://download.newrelic.com/install/newrelic-cli/${version}/NewRelicCLIInstaller.msi", "$env:TEMP\NewRelicCLIInstaller.msi");
+$WebClient = New-Object System.Net.WebClient
+if ($env:HTTPS_PROXY) {
+    $WebClient.Proxy = New-Object System.Net.WebProxy($env:HTTPS_PROXY, $true)
+}
+$version = $null
+try {
+    $version = $WebClient.DownloadString("https://download.newrelic.com/install/newrelic-cli/currentVersion.txt").Trim();
+    $WebClient.DownloadFile("https://download.newrelic.com/install/newrelic-cli/${version}/NewRelicCLIInstaller.msi", "$env:TEMP\NewRelicCLIInstaller.msi");
+}
+catch {
+    Write-Output "`nCould not download the New Relic CLI installer.`n`nCheck your firewall settings. If you are using a proxy, make sure that you are able to access https://download.newrelic.com and that you have set the HTTPS_PROXY environment variable with your full proxy URL.`n"
+    throw
+}
 msiexec.exe /qn /i $env:TEMP\NewRelicCLIInstaller.msi | Out-Null;
\ No newline at end of file
diff --git a/scripts/install.sh b/scripts/install.sh
index aab9c2246..17a1c5867 100755
--- a/scripts/install.sh
+++ b/scripts/install.sh
@@ -60,9 +60,13 @@ if [ $IS_CURL_INSTALLED -eq 0 ]; then
 fi
 
 # GitHub's URL for the latest release, will redirect.
-LATEST_URL="https://download.newrelic.com/install/newrelic-cli/currentVersion.txt"
+BASE_URL="https://download.newrelic.com"
+LATEST_URL="$BASE_URL/install/newrelic-cli/currentVersion.txt"
 DESTDIR="${DESTDIR:-/usr/local/bin}"
 
+# Check for connectivity to https://download.newrelic.com
+curl --connect-timeout 10 -IsL "$BASE_URL" > /dev/null || ( echo "Cannot connect to $BASE_URL to download the New Relic CLI. Check your firewall settings. If you are using a proxy, make sure you have set the HTTPS_PROXY environment variable." && exit 132 )
+
 # Create DESTDIR if it does not exist.
 if [ ! -d "$DESTDIR" ]; then 
     mkdir -m 755 -p "$DESTDIR"