diff --git a/ChangeLog.md b/ChangeLog.md
--- a/ChangeLog.md
+++ b/ChangeLog.md
@@ -1,3 +1,7 @@
+## 0.4.22
+
+* ProxyConnectException now returns Right HttpException. [#155](https://github.com/snoyberg/http-client/pull/155)
+
 ## 0.4.21
 
 * Support `no_proxy` environment variable. [#140](https://github.com/snoyberg/http-client/issues/140) [#145](https://github.com/snoyberg/http-client/pull/145)
diff --git a/Network/HTTP/Client/Manager.hs b/Network/HTTP/Client/Manager.hs
--- a/Network/HTTP/Client/Manager.hs
+++ b/Network/HTTP/Client/Manager.hs
@@ -443,7 +443,7 @@
                     parse conn = do
                         sh@(StatusHeaders status _ _) <- parseStatusHeaders conn Nothing Nothing
                         unless (status == status200) $
-                            throwIO $ ProxyConnectException ultHost ultPort $ Left $ S8.pack $ show sh
+                            throwIO $ ProxyConnectException ultHost ultPort $ Right $ StatusCodeException status [] (CJ [])
                  in mTlsProxyConnection m connstr parse (S8.unpack ultHost)
 
 -- | Get the proxy settings from the @Request@ itself.
diff --git a/http-client.cabal b/http-client.cabal
--- a/http-client.cabal
+++ b/http-client.cabal
@@ -1,5 +1,5 @@
 name:                http-client
-version:             0.4.21
+version:             0.4.22
 synopsis:            An HTTP client engine, intended as a base layer for more user-friendly packages.
 description:         Hackage documentation generation is not reliable. For up to date documentation, please see: <http://www.stackage.org/package/http-client>.
 homepage:            https://github.com/snoyberg/http-client