You can set up a proxy on your Xiaomi smartphone, which will redirect the wireless Internet connection through the set proxy server. To set up a proxy, at least the proxy hostname and proxy port are required.

Android 10 (MIUI 12.0)
Step 1:  Open the  Settings
Step 2:  Tap on  Wi-Fi
Step 3:  Open the  networks settings
Step 4:  Tap on  Proxy
Step 5:  Choose  None ,  Manual  or  Proxy Auto-Config
Step 6:  Enter the appropriate  data
Step 7:  Tap on  Save
  1. Open the Settings
  2. Tap on Wi-Fi
  3. Open the networks settings
  4. Tap on Proxy
  5. Choose None, Manual or Proxy Auto-Config
  6. Enter the appropriate data
  7. Tap on Save

Xiaomi Instructions