I want to create my own proxy server.

Is it possible to set one up to run on my current computer while still maintaining its function as a normal computer? I have found plenty of tutorials on how to make a computer into a dedicated server and plenty of tutorials on setting up VPN client software but none on creating my own proxy server within my current computer.

Below is the output of cat /etc/os-release
PRETTY_NAME="Kali GNU/Linux Rolling"
NAME="Kali GNU/Linux"
ID=kali
VERSION="2019.1"
VERSION_ID="2019.1"
ID_LIKE=debian
ANSI_COLOR="1;31"
HOME_URL="https://www.kali.org/"
SUPPORT_URL="https://forums.kali.org/"
BUG_REPORT_URL="https://bugs.kali.org/"

Any help is appreciated. If it is not possible I would greatly appreciate an explanation as to why not for future reference.
Thanks all