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diff --git a/synapse/http/connectproxyclient.py b/synapse/http/connectproxyclient.py
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+# -*- coding: utf-8 -*-
+# Copyright 2019 The Matrix.org Foundation C.I.C.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+import logging
+
+from zope.interface import implementer
+
+from twisted.internet import defer, protocol
+from twisted.internet.error import ConnectError
+from twisted.internet.interfaces import IStreamClientEndpoint
+from twisted.internet.protocol import connectionDone
+from twisted.web import http
+
+logger = logging.getLogger(__name__)
+
+
+class ProxyConnectError(ConnectError):
+    pass
+
+
+@implementer(IStreamClientEndpoint)
+class HTTPConnectProxyEndpoint(object):
+    """An Endpoint implementation which will send a CONNECT request to an http proxy
+
+    Wraps an existing HostnameEndpoint for the proxy.
+
+    When we get the connect() request from the connection pool (via the TLS wrapper),
+    we'll first connect to the proxy endpoint with a ProtocolFactory which will make the
+    CONNECT request. Once that completes, we invoke the protocolFactory which was passed
+    in.
+
+    Args:
+        reactor: the Twisted reactor to use for the connection
+        proxy_endpoint (IStreamClientEndpoint): the endpoint to use to connect to the
+            proxy
+        host (bytes): hostname that we want to CONNECT to
+        port (int): port that we want to connect to
+    """
+
+    def __init__(self, reactor, proxy_endpoint, host, port):
+        self._reactor = reactor
+        self._proxy_endpoint = proxy_endpoint
+        self._host = host
+        self._port = port
+
+    def __repr__(self):
+        return "<HTTPConnectProxyEndpoint %s>" % (self._proxy_endpoint,)
+
+    def connect(self, protocolFactory):
+        f = HTTPProxiedClientFactory(self._host, self._port, protocolFactory)
+        d = self._proxy_endpoint.connect(f)
+        # once the tcp socket connects successfully, we need to wait for the
+        # CONNECT to complete.
+        d.addCallback(lambda conn: f.on_connection)
+        return d
+
+
+class HTTPProxiedClientFactory(protocol.ClientFactory):
+    """ClientFactory wrapper that triggers an HTTP proxy CONNECT on connect.
+
+    Once the CONNECT completes, invokes the original ClientFactory to build the
+    HTTP Protocol object and run the rest of the connection.
+
+    Args:
+        dst_host (bytes): hostname that we want to CONNECT to
+        dst_port (int): port that we want to connect to
+        wrapped_factory (protocol.ClientFactory): The original Factory
+    """
+
+    def __init__(self, dst_host, dst_port, wrapped_factory):
+        self.dst_host = dst_host
+        self.dst_port = dst_port
+        self.wrapped_factory = wrapped_factory
+        self.on_connection = defer.Deferred()
+
+    def startedConnecting(self, connector):
+        return self.wrapped_factory.startedConnecting(connector)
+
+    def buildProtocol(self, addr):
+        wrapped_protocol = self.wrapped_factory.buildProtocol(addr)
+
+        return HTTPConnectProtocol(
+            self.dst_host, self.dst_port, wrapped_protocol, self.on_connection
+        )
+
+    def clientConnectionFailed(self, connector, reason):
+        logger.debug("Connection to proxy failed: %s", reason)
+        if not self.on_connection.called:
+            self.on_connection.errback(reason)
+        return self.wrapped_factory.clientConnectionFailed(connector, reason)
+
+    def clientConnectionLost(self, connector, reason):
+        logger.debug("Connection to proxy lost: %s", reason)
+        if not self.on_connection.called:
+            self.on_connection.errback(reason)
+        return self.wrapped_factory.clientConnectionLost(connector, reason)
+
+
+class HTTPConnectProtocol(protocol.Protocol):
+    """Protocol that wraps an existing Protocol to do a CONNECT handshake at connect
+
+    Args:
+        host (bytes): The original HTTP(s) hostname or IPv4 or IPv6 address literal
+            to put in the CONNECT request
+
+        port (int): The original HTTP(s) port to put in the CONNECT request
+
+        wrapped_protocol (interfaces.IProtocol): the original protocol (probably
+            HTTPChannel or TLSMemoryBIOProtocol, but could be anything really)
+
+        connected_deferred (Deferred): a Deferred which will be callbacked with
+            wrapped_protocol when the CONNECT completes
+    """
+
+    def __init__(self, host, port, wrapped_protocol, connected_deferred):
+        self.host = host
+        self.port = port
+        self.wrapped_protocol = wrapped_protocol
+        self.connected_deferred = connected_deferred
+        self.http_setup_client = HTTPConnectSetupClient(self.host, self.port)
+        self.http_setup_client.on_connected.addCallback(self.proxyConnected)
+
+    def connectionMade(self):
+        self.http_setup_client.makeConnection(self.transport)
+
+    def connectionLost(self, reason=connectionDone):
+        if self.wrapped_protocol.connected:
+            self.wrapped_protocol.connectionLost(reason)
+
+        self.http_setup_client.connectionLost(reason)
+
+        if not self.connected_deferred.called:
+            self.connected_deferred.errback(reason)
+
+    def proxyConnected(self, _):
+        self.wrapped_protocol.makeConnection(self.transport)
+
+        self.connected_deferred.callback(self.wrapped_protocol)
+
+        # Get any pending data from the http buf and forward it to the original protocol
+        buf = self.http_setup_client.clearLineBuffer()
+        if buf:
+            self.wrapped_protocol.dataReceived(buf)
+
+    def dataReceived(self, data):
+        # if we've set up the HTTP protocol, we can send the data there
+        if self.wrapped_protocol.connected:
+            return self.wrapped_protocol.dataReceived(data)
+
+        # otherwise, we must still be setting up the connection: send the data to the
+        # setup client
+        return self.http_setup_client.dataReceived(data)
+
+
+class HTTPConnectSetupClient(http.HTTPClient):
+    """HTTPClient protocol to send a CONNECT message for proxies and read the response.
+
+    Args:
+        host (bytes): The hostname to send in the CONNECT message
+        port (int): The port to send in the CONNECT message
+    """
+
+    def __init__(self, host, port):
+        self.host = host
+        self.port = port
+        self.on_connected = defer.Deferred()
+
+    def connectionMade(self):
+        logger.debug("Connected to proxy, sending CONNECT")
+        self.sendCommand(b"CONNECT", b"%s:%d" % (self.host, self.port))
+        self.endHeaders()
+
+    def handleStatus(self, version, status, message):
+        logger.debug("Got Status: %s %s %s", status, message, version)
+        if status != b"200":
+            raise ProxyConnectError("Unexpected status on CONNECT: %s" % status)
+
+    def handleEndHeaders(self):
+        logger.debug("End Headers")
+        self.on_connected.callback(None)
+
+    def handleResponse(self, body):
+        pass