The primary purpose of a proxy server is to act as an intermediary between a user's device and the internet. It serves several functions, such as improving security by masking user IP addresses, caching content to enhance load times, and filtering web traffic to block unwanted sites. By routing requests through the proxy, organizations can monitor and control access to online resources. Additionally, proxy servers can assist in bypassing regional restrictions, allowing users to access content that may be restricted in their location.