from telethon import TelegramClient, connection
#   we need to change the connection ^^^^^^^^^^
client = TelegramClient(
    'anon',
    api_id,
    api_hash,
    # Use one of the available connection modes.
    # Normally, this one works with most proxies.
    connection=connection.ConnectionTcpMTProxyRandomizedIntermediate,
    # Then, pass the proxy details as a tuple:
    #     (host name, port, proxy secret)
    #
    # If the proxy has no secret, the secret must be:
    #     '00000000000000000000000000000000'
    proxy=('mtproxy.example.com', 2002, 'secret')
)