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I've seen that it is possible to configure a proxy with the WLAN settings in the iPhone. But I'm wondering whether it is also possible to configure a proxy for the mobile data connection.

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Yes, you can set a Global HTTP Proxy on iOS devices, which routes all network traffic, regardless of connection, through your proxy server.

The simplest way is to use Apple Configurator, available free on a Mac using the Mac App Store. You will need to enroll your device via USB cable into "Supervised" mode. This will wipe your device. After this you can install a profile with a Global HTTP Proxy setting included.

If you are doing this across an enterprise, many tools exist, such as AirWatch or Casper Suite.

If you don't have a Mac and don't want to pay any money, you can also custom write your own XML-based profile, although I think it's safe to say you're beyond my comfort-level in directing you here.

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That's promising! I'll test it to night ... – wollud1969 Mar 12 '13 at 12:04
It should definitely work. Apple created this specifically with schools in mind, where internet filtering is sometimes required by state law, regardless of connection type. Good luck! – bispymusic Mar 12 '13 at 15:20
There are tools to generate XML-based mobileconfig profiles, e.g., as I've now outlined in my answer. – StockB yesterday

Not 100% sure about proxy but as a last resort, you can set up VPN for your iPhone which would also affect your 3G connection by going to Settings > General VPN > Add VPN Configuraion.

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That sounds at least a bit promising. Do you know whether it is possible to make the VPN connection mandatory for any Internet access? (So, no Internet at all but through the VPN.) What I'm actually trying to set up is a kind of child-protection: I have my own proxy with a filter, allowing only a hand-selected set of websites. In the house it works great. Now I want to extend this setup to the iPhones of the kids, since I don't want to rely on what providers are offering here. – wollud1969 Feb 8 '13 at 8:52
Hm you having an active Internet connection is a prerequisite to connect through a VPN. Otherwise, you will not be able to reach the VPN server at all without an Internet connection. So I would answer "no" to your question. – jDonMas Feb 19 '13 at 15:52

Generate a mobileconfig using a tool such as Load the mobileconfig by opening it in the iOS mail client. Remove it from Device Configuration when you're finished testing.

This method neither requires a Mac OS X computer, nor a jailbroken iPhone.

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