The eldest son of Sir Richard Proby, he was raised on the family estate, Elton Hall, near Oundle. Peter was educated at Eton and Trinity College, Oxford. He then worked for the China trading firm of Jardine Matheson for four years, traveling between company posts on the Yangtze, leaving China in 1938. He enlisted in the Irish Guards upon the outbreak of World War II, spending most of his career in military intelligence interpreting aerial photographs and interrogating captured German airmen.
After the war, Proby qualified as a land agent, and then managed the family estate. In 1944, he married Blanche Harrison, by whom he had five children:
In 1953, Proby was offered the bursarship of Eton. During his tenure there, several new buildings were erected, including Villiers and Farrer houses, and the college chapel was renovated after an infestation of death watch beetle. Proby was noted for his skilled financial management of these projects, and for his enthusiasm for new technology. After retiring from the bursarship in 1971, he returned to the management of Elton and engaged in local affairs.