diff --git a/test/test_http_proxy.py b/test/test_http_proxy.py
index 191b6baf8..c72edc472 100644
--- a/test/test_http_proxy.py
+++ b/test/test_http_proxy.py
@@ -60,7 +60,9 @@ def __init__(self, *args, proxy_info=None, username=None, password=None, request
         super().__init__(*args, **kwargs)
 
     def do_GET(self):
-        self.do_proxy_auth(self.username, self.password)
+        if not self.do_proxy_auth(self.username, self.password):
+            self.server.close_request(self.request)
+            return
         if self.path.endswith('/proxy_info'):
             payload = json.dumps(self.proxy_info or {
                 'client_address': self.client_address,
@@ -76,6 +78,11 @@ def do_GET(self):
             self.send_header('Content-Length', str(len(payload)))
             self.end_headers()
             self.wfile.write(payload.encode())
+        else:
+            self.send_response(404)
+            self.end_headers()
+
+        self.server.close_request(self.request)
 
 
 if urllib3:
@@ -160,7 +167,9 @@ def __init__(self, *args, username=None, password=None, request_handler=None, **
         super().__init__(*args, **kwargs)
 
     def do_CONNECT(self):
-        self.do_proxy_auth(self.username, self.password)
+        if not self.do_proxy_auth(self.username, self.password):
+            self.server.close_request(self.request)
+            return
         self.send_response(200)
         self.end_headers()
         proxy_info = {
@@ -173,6 +182,7 @@ def do_CONNECT(self):
             'proxy': ':'.join(str(y) for y in self.connection.getsockname()),
         }
         self.request_handler(self.request, self.client_address, self.server, proxy_info=proxy_info)
+        self.server.close_request(self.request)
 
 
 class HTTPSConnectProxyHandler(HTTPConnectProxyHandler):
@@ -181,8 +191,13 @@ def __init__(self, request, *args, **kwargs):
         sslctx = ssl.SSLContext(ssl.PROTOCOL_TLS_SERVER)
         sslctx.load_cert_chain(certfn, None)
         request = sslctx.wrap_socket(request, server_side=True)
+        self._original_request = request
         super().__init__(request, *args, **kwargs)
 
+    def do_CONNECT(self):
+        super().do_CONNECT()
+        self.server.close_request(self._original_request)
+
 
 @contextlib.contextmanager
 def proxy_server(proxy_server_class, request_handler, bind_ip=None, **proxy_server_kwargs):
@@ -295,6 +310,7 @@ def test_http_bad_auth(self, handler, ctx):
                 with pytest.raises(HTTPError) as exc_info:
                     ctx.proxy_info_request(rh)
                 assert exc_info.value.response.status == 407
+                exc_info.value.response.close()
 
     def test_http_source_address(self, handler, ctx):
         with ctx.http_server(HTTPProxyHandler) as server_address: