Not directly, but if they are used to get around legal limitations then yes.
There is no specific law covering this sort of thing which is why cases of this nature are often grey areas: it all depends on how you interpret/implement laws written to cover the physical world as you transcribe them to operate online. For instance gaining access to money by pretending to be in a country where you would qualify for a grant in, despite living elsewhere, is fraud - gaining access to resources online the same way using a proxy to pretend you come from somewhere else is the same thing.
As with many tools proxies themselves are not illegal (well, in most territories!) and have a great many legal uses, but they can be used as part of an attempt to get away with breaking the law.
There is no specific law covering this sort of thing which is why cases of this nature are often grey areas: it all depends on how you interpret/implement laws written to cover the physical world as you transcribe them to operate online. For instance gaining access to money by pretending to be in a country where you would qualify for a grant in, despite living elsewhere, is fraud - gaining access to resources online the same way using a proxy to pretend you come from somewhere else is the same thing.
As with many tools proxies themselves are not illegal (well, in most territories!) and have a great many legal uses, but they can be used as part of an attempt to get away with breaking the law.