If you are using Leiningen 2.x behind an HTTP proxy you need to set the http_proxy environment variable before launching Leiningen.
http_proxy
In Linux/Unix put this in ~/.profile:
~/.profile
http_proxy=http://username:password@proxy:port
Or in Windows:
For unexpected behaviours could be useful to check the get-proxy-settings function on http://github.com/technomancy/leiningen/blob/master/leiningen-core/src/leiningen/core/classpath.clj#L86
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