diff --git a/tests/integration/test_proxy.py b/tests/integration/test_proxy.py
index c49ea6b0..71045dd8 100644
--- a/tests/integration/test_proxy.py
+++ b/tests/integration/test_proxy.py
@@ -1,5 +1,6 @@
 """Test using a proxy."""
 
+import asyncio
 import http.server
 import socketserver
 import threading
@@ -36,6 +37,35 @@ def do_GET(self):
         self.end_headers()
         self.copyfile(upstream_response, self.wfile)
 
+    def do_CONNECT(self):
+        host, port = self.path.split(":")
+
+        asyncio.run(self._tunnel(host, port, self.connection))
+
+    async def _tunnel(self, host, port, client_sock):
+        target_r, target_w = await asyncio.open_connection(host=host, port=port)
+
+        self.send_response(http.HTTPStatus.OK)
+        self.end_headers()
+
+        source_r, source_w = await asyncio.open_connection(sock=client_sock)
+
+        async def channel(reader, writer):
+            while True:
+                data = await reader.read(1024)
+                if not data:
+                    break
+                writer.write(data)
+                await writer.drain()
+
+            writer.close()
+            await writer.wait_closed()
+
+        await asyncio.gather(
+            channel(target_r, source_w),
+            channel(source_r, target_w),
+        )
+
 
 @pytest.fixture(scope="session")
 def proxy_server():
@@ -59,3 +89,23 @@ def test_use_proxy(tmpdir, httpbin, proxy_server):
         assert cassette_response.headers[key] == response.headers[key]
     assert cassette_response.headers == response.headers
     assert cassette.play_count == 1
+
+
+def test_use_https_proxy(tmpdir, httpbin_secure, proxy_server):
+    """Ensure that it works with an HTTPS proxy."""
+    with vcr.use_cassette(str(tmpdir.join("proxy.yaml"))):
+        response = requests.get(httpbin_secure.url, proxies={"https": proxy_server})
+
+    with vcr.use_cassette(str(tmpdir.join("proxy.yaml")), mode="once") as cassette:
+        cassette_response = requests.get(
+            httpbin_secure.url,
+            proxies={"https": proxy_server},
+        )
+
+    for key in set(cassette_response.headers.keys()) & set(response.headers.keys()):
+        assert cassette_response.headers[key] == response.headers[key]
+    assert cassette_response.headers == response.headers
+    assert cassette.play_count == 1
+
+    # The cassette url points to httpbin, not the proxy
+    assert cassette.requests[0].url == httpbin_secure.url + "/"
diff --git a/vcr/stubs/__init__.py b/vcr/stubs/__init__.py
index 4d4bb39d..336038ff 100644
--- a/vcr/stubs/__init__.py
+++ b/vcr/stubs/__init__.py
@@ -186,22 +186,34 @@ def _port_postfix(self):
         """
         Returns empty string for the default port and ':port' otherwise
         """
-        port = self.real_connection.port
+        port = (
+            self.real_connection.port
+            if not self.real_connection._tunnel_host
+            else self.real_connection._tunnel_port
+        )
         default_port = {"https": 443, "http": 80}[self._protocol]
         return f":{port}" if port != default_port else ""
 
+    def _real_host(self):
+        """Returns the request host"""
+        if self.real_connection._tunnel_host:
+            # The real connection is to an HTTPS proxy
+            return self.real_connection._tunnel_host
+        else:
+            return self.real_connection.host
+
     def _uri(self, url):
         """Returns request absolute URI"""
         if url and not url.startswith("/"):
             # Then this must be a proxy request.
             return url
-        uri = f"{self._protocol}://{self.real_connection.host}{self._port_postfix()}{url}"
+        uri = f"{self._protocol}://{self._real_host()}{self._port_postfix()}{url}"
         log.debug("Absolute URI: %s", uri)
         return uri
 
     def _url(self, uri):
         """Returns request selector url from absolute URI"""
-        prefix = f"{self._protocol}://{self.real_connection.host}{self._port_postfix()}"
+        prefix = f"{self._protocol}://{self._real_host()}{self._port_postfix()}"
         return uri.replace(prefix, "", 1)
 
     def request(self, method, url, body=None, headers=None, *args, **kwargs):