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.
Colour Coding 
That's perfect. I believe lein2 uses pomegranate, which respects the standard environment variables, rather than maven, which not only doesn't respect HTTP_PROXY, it doesn't even respect any reasonable sense of taste.
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