The present invention provides a method for detecting proxy at the gateway, comprising decomposing the access request from the IP need to be proxy-monitored into an access request to original address and an access request to gateway-specified address to access the original address and the gateway-specified separately; determining whether a specific cookie information is included in said access request to gateway-specified address or not to obtain a second determining result; responding to the access request to said gateway-specified address and embedding the cookie information with the time stamp into the client PC by the gateway when said second determining result is no, and reading said cookie information when said second determining result is yes; determining whether said IP is using proxy or not on the basis of said cookie information. Accordingly, the present invention also provides a device and gateway server for detecting proxy at the gateway. It can be detected accurately and secretly in the intranet whether a certain IP is using common proxy or nat proxy.