diff --git a/Doc/library/http.client.rst b/Doc/library/http.client.rst
--- a/Doc/library/http.client.rst
+++ b/Doc/library/http.client.rst
@@ -452,11 +452,24 @@
 .. method:: HTTPConnection.set_tunnel(host, port=None, headers=None)
 
    Set the host and the port for HTTP Connect Tunnelling. Normally used when it
-   is required to a HTTPS Connection through a proxy server.
+   is required to access a HTTPS Connection through a proxy server.
+
+   The host and port arguments specify the endpoint of the tunnelled connection
+   (i.e. the address included in the CONNECT request, *not* the address of
+   the proxy server).
 
    The headers argument should be a mapping of extra HTTP headers to send
    with the CONNECT request.
 
+   For example, if we set up a HTTPS proxy server locally on port 8080. We first
+   set the tunnel host in `HTTPSConnection` and then the host we want to reach
+   into set_tunnel`::
+
+      >>> import http.client
+      >>> conn = http.client.HTTPSConnection("localhost",8080)
+      >>> conn.set_tunnel("www.python.org")
+      >>> conn.request("HEAD","/index.html")
+
    .. versionadded:: 3.2