How can I make SFTP work through an explicit proxy?

To make SFTP work through an Explicit proxy, do the following:

1. Intercept the Explicit service (example 8080) and disable Detect Protocol.
2. Ensure your policy is set to Allow.

Use an SFTP client of your choice. The instructions below are written using FileZilla Client version 3.5.0

In FileZilla (FZ) the host is the intended SSH server (not the ProxySG), the username & password is that of the SSH server (not the ProxSG), the port is 22.

In FZ under Edit > Settings: Then under Connection > FTP > Generic FTP, selected "HTTP/1.1 using CONNECT method" then fill in the fields below as follows:

Proxy host: (the proxy ip address)
Proxy port: (8080)
Proxy user: (xxxxx) <--- User name if the proxy is set to authenticate client requests
Proxy password:  (yyyyyyy)  <--- User password

Click OK

Make your SFTP connection using FZ.