Works for me this way (similar to @Amey and @user4642224 code, but shorter a bit):

from selenium import webdriver
from selenium.webdriver.common.proxy import Proxy, ProxyType

prox = Proxy()
prox.proxy_type = ProxyType.MANUAL
prox.http_proxy = "ip_addr:port"
prox.socks_proxy = "ip_addr:port"
prox.ssl_proxy = "ip_addr:port"

capabilities = webdriver.DesiredCapabilities.CHROME
prox.add_to_capabilities(capabilities)

driver = webdriver.Chrome(desired_capabilities=capabilities)

Works for me this way (similar to @Amey and @user4642224 code, but shorter a bit):

from selenium import webdriver
from selenium.webdriver.common.proxy import Proxy, ProxyType

prox = Proxy()
prox.proxy_type = ProxyType.MANUAL
prox.http_proxy = "ip_addr:port"
prox.socks_proxy = "ip_addr:port"
prox.ssl_proxy = "ip_addr:port"

capabilities = webdriver.DesiredCapabilities.CHROME
prox.add_to_capabilities(capabilities)

driver = webdriver.Chrome(desired_capabilities=capabilities)