Hello Bharath-4205,
Welcome to the Microsoft Q&A forum.
Can you please make sure to whitelist the required services on the proxy server?
If you whitelist only IP addresses, then you need to whitelist based on our documentation for service bus and Azure relay:https://learn.microsoft.com/en-us/azure/data-factory/create-self-hosted-integration-runtime?tabs=data-factory#ports-and-firewalls
If you can whitelist FQDNs, please see the following document:https://learn.microsoft.com/en-us/azure/data-factory/create-self-hosted-integration-runtime?tabs=data-factory#get-url-of-azure-relay
I hope this helps.
Please let me know if you have any further questions.