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 +452,26 @@
 .. 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, to tunnel through a HTTPS proxy server running locally
+   on port 8080, we would pass the address of the proxy to the
+   :class:`HTTPSConnection` constructor, and the address of the host
+   that we eventually want to reach to the
+   :meth:`~HTTPConnection.set_tunnel` method::
+
+      >>> import http.client
+      >>> conn = http.client.HTTPSConnection("localhost", 8080)
+      >>> conn.set_tunnel("www.python.org")
+      >>> conn.request("HEAD","/index.html")
+
    .. versionadded:: 3.2