diff --git a/yt_dlp/networking/_helper.py b/yt_dlp/networking/_helper.py
index 25dedf469..4bfe29c06 100644
--- a/yt_dlp/networking/_helper.py
+++ b/yt_dlp/networking/_helper.py
@@ -341,4 +341,5 @@ def create_http_connect_connection(
         return conn.sock
     else:
         conn.close()
+        response.close()
         raise ProxyError(f'Got HTTP Error {response.status} with CONNECT: {response.reason}')