I spent a couple of hours banging my head against a wall over this. Leiningen doesn’t respect the HTTP_PROXY environment variable as most Unix programs do. I finally asked on the Clojure IRC channel and got the answer from manutter: leiningen, of course, uses maven for its dependency management. Maven, in turn, doesn’t respect the environment variable. Instead you need to configure a specific file in your ~/.m2 directory.
Hope this helps someone.