Yes. For ongoing operations, you can configure the Health Agent to use an HTTP proxy to forward outbound HTTP requests.
Read more about configuring HTTP Proxy for Health Agents.
If you need to configure a proxy during agent registration, you might need to modify your Internet Explorer Proxy settings beforehand.
Open Internet Explorer > Settings > Internet Options > Connections > LAN Settings.
Select Use a Proxy Server for your LAN.
Select Advanced if you have different proxy ports for HTTP and HTTPS/Secure.