A proxy signature scheme enables an original signer to delegate its signing capability to a proxy signer and then the proxy signer can sign a message on behalf of the original signer. Recently, in order to eliminate the use of certificates in certified public key cryptography and the key-escrow problem in identity-based cryptography, the notion of certificateless public key cryptography was introduced. In this paper, we first present a security model for certificateless proxy signature schemes, and then propose an efficient construction based on bilinear pairings. The security of the proposed scheme can be proved to be equivalent to the computational Diffie-Hellman problem in the random oracle with a tight reduction.