Setting http.proxy will not work for ssh. You need to proxy your ssh connection. See this description. To summarize:
Start git-cmd.bat and create ~/.ssh/config (notepad %home%\.ssh\config.) 
ProxyCommand /bin/connect.exe -H proxy.server.name:3128 %h %p
Host github.com
  User git
  Port 22
  Hostname github.com
  IdentityFile "C:\users\username\.ssh\id_rsa"
  TCPKeepAlive yes
  IdentitiesOnly yes
Host ssh.github.com
  User git
  Port 443
  Hostname ssh.github.com
  IdentityFile "C:\users\username\.ssh\id_rsa"
  TCPKeepAlive yes
  IdentitiesOnly yes
(set the correct proxy hostname:port, and the path to id_rsa. When you use git-bash, use slashes in the path to id_rsa)
(My version of msysgit includes connect.exe, so I do not need to download and compile connect.c). A precompiled exe is also available here.
Now ssh github.com should work
Note that if you want to connect via a socks5 proxy, then change -H to -S.
ProxyCommand connect -S proxy.server.name:1080 %h %p
If you use a Linux file system, the file permission of ~/.ssh/config must be 600, but on a standard NTFS windows partition, these kind of permissions do not exist.
If your proxy requires NTLM authentication, you can use cntlm, see also this answer.