Residential proxy has emerged as a service gaining popularity recently, in which proxy providers relay their customers’ network traffic through millions of proxy peers under their control. We find that many of these proxy peers are mobile devices, whose role in the proxy network can have significant security implications since mobile devices tend to be privacyand resource-sensitive. However, little effort has been made so far to understand the extent of their involvement, not to mention how these devices are recruited by the proxy network and what security and privacy risks they may pose. In this paper, we report the first measurement study on the mobile proxy ecosystem. Our study was made possible by a novel measurement infrastructure, which enabled us to identify proxy providers, to discover proxy SDKs (software development kits), to detect Android proxy apps built upon the proxy SDKs, to harvest proxy IP addresses, and to understand proxy traffic. The information collected through this infrastructure has brought to us new understandings of this ecosystem and important security discoveries. More specifically, 4 proxy providers were found to offer app developers mobile proxy SDKs as a competitive app monetization channel, with $50K per month per 1M MAU (monthly active users). 1,701 Android APKs (belonging to 963 Android apps) turn out to have integrated those proxy SDKs, with most of them available on Google Play with at least 300M installations in total. Furthermore, 48.43% of these APKs are flagged by at least 5 anti-virus engines as malicious, which could explain why 86.60% of the 963 Android apps have been removed from Google Play by Oct 2019. Besides, while these apps display user consent dialogs on traffic relay, our user study indicates that the user consent texts are quite confusing. We even discover a proxy SDK that stealthily relays traffic without showing any notifications. We also captured 625K cellular proxy IPs, along with a set of suspicious activities observed in proxy traffic such as ads fraud. We have reported our findings to affected parties, offered suggestions, and proposed the methodologies to detect proxy apps and proxy traffic.