I've got a problem with sharing internet connection from my macbook pro to iphone. I've shared Ethernet connection in System Preference and managed to connect to the network from my iPhone but has no internet connection on the iPhone I assume that the problem is because my macbook's Ethernet connection uses proxy. I tried to enabled auto in proxy setting on iPhone but it didn't help. So the question is how to set up internet connection sharing under conditions described above. Thanks in advance.
If you can access the Internet successfully on your Mac, you can share it to your iPhone. Your Mac just essentially acts as the router. So make sure you can access the net successfully on your Mac first. Then go to Sharing and turn on Internet Sharing, choosing to share the Ethernet connection via the Airport. Now connect to the adhoc network that's been created using your iPhone.
Since Dmytro said that the answer from superuser worked, I'm posting it as an answer here...
First, try entering the proxy settings for your connection into the iPhone. You can do this by going into the Settings app > Wifi > Wifi network name > Proxy (which is at the bottom). Note, you cannot specify a .pac proxy file like this on the iPhone.
Unfortunately, this may not work. I had the exact same problem for me, and although it would work fine with my DSi, for some reason, my iPod touch hated the ad-hoc connection.
I am only going to chime in to share a link to the Apple KB article which describes how to share an Internet connection on Mac: Sharing your Internet connection