No, Boost provides neither an HTTP client, nor a way to interact with proxies. You will definitely have to implement these functions yourself.
To be clear, yes, you can implement an HTTP client using Boost.Asio. But implementing a client that can talk reliably through a proxy server is much more complicated, and Asio does not provide any support for this other than the lowest level socket. This, of course, does not include NTLM authentication frameworks, which can be difficult to get right.
More sophisticated libraries like cURL provide this support.
source share