Here We Are Now, Entertain Us
"I am an entertainer," Proximo says to Maximus. And, for most of the film, this is exactly what Proximo is: a cutthroat, Roman-era entertainment mogul.
He buys slaves, profits from their deaths in the gladiatorial arenas in Africa, and in general doesn't really care about anything except Proximo. Sure, he makes a good amount of money hanging out in Africa, but it's clear that he's tired of the provinces and really wants to get back to Rome (the center of the Empire) to where he feels he belongs.
But despite being a crusty old dirtbag who says things like:
PROXIMO: I did not pay good money for you for your company. I paid it so that I could profit from your death. And as your mother was there at your beginning, so I shall be there at your end.
…he's also is a very, very shrewd man.
He has a keen understanding of how to manage the crowd (or the mob, depending on how you look at it) and it's this understanding that ultimately helps Maximus. Armed with Proximo's wisdom, Maximus is able to control the crowd, prolong his own life, and wield a very powerful weapon against Commodus.
Now even though Proximo's in the business of profiting from death, this slowly changes once Maximus comes into his life. He begins to think about the bigger picture. He learns from Maximus what really happened to Marcus Aurelius, and that's the tipping point.
Because Proximo loves Marcus Aurelius—the dude freed him from a life of servitude. He gave him his liberty and allowed Proximo the lowly gladiator to become Proximo, the wheeling-and-dealing gladiator trainer.
Once Proximo discovers that Marcus Aurelius' son was to blame, he finds his long-lost moral compass…even despite the fact that Commodus' games are making Proximo some serious bank.
We don't see Proximo's change of heart on screen, but once he lets Maximus out of his cell so he can escape (and even takes a sword and tries to fight off Commodus' soldiers), we know he's officially become a Good Guy.
He dies having accepted the fact that it's worth giving Maximus a shot…and giving Marcus Aurelius' dream of the Roman Republic a shot.