Can JBE (Jazz build engine) is supported to run behind a proxy server?

There are two options: You might want to try what is best for you.

1. Run JBE with proxy arguments as below:
jbe -repository <repository URL> -userId <user id> -pass <password> -engineId <engine id> -vmargs -Dhttps.proxyHost=<proxy host> -Dhttps.proxyPort=<proxy port>

2. Add the proxy server details in the jbe.ini file located in the Build system tool kit
-Dhttps.proxyHost=<proxy host>
-Dhttps.proxyPort=<proxy port>

If you are using non-secured port, then replace -Dhttps.proxyHost to -Dhttp.proxyHost and -Dhttps.proxyPort to -Dhttp.proxyPort