They don’t necessarily achieve the same.
A proxy is primarily used to hide your IP or location from the site you are connecting to in order to make them think you are somewhere else or to get around some filter that blocks that site. It doesn’t necessarily increase your security again 3rd parties eavesdropping on you though.
A VPN encrypts all your traffic through a tunnel so it can’t be spied upon and also has the same effect as the proxy since any sites you access see the IP/location of the network you are connected to via VPN instead of the network you are physically on.
Personally, I already use a VPN here in the US when I’m on open/public/untrusted networks so I’ll probably just continue to use it when I’m overseas so that I can access things like Netflix that are limited to US & Canada.
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