ProxySQL is an open-source MySQL proxy server that improves the performance, scalability, and availability of MySQL databases. It achieves this through load balancing, query caching, connection pooling, and automatic failover. It also offers advanced query analysis, rewriting, security features, and comprehensive monitoring. In the tutorial, we will set up MySQL Replication with a source server and two replicas, and then connect them to ProxySQL using a configuration file to leverage its capabilities.