We present proximity sequencing (Prox-seq) for simultaneous measurement of proteins, protein complexes and mRNAs in thousands of single cells. Prox-seq combines proximity ligation assay with single-cell sequencing to measure proteins and their complexes from all pairwise combinations of targeted proteins, providing quadratically scaled multiplexing. We validate Prox-seq and analyze a mixture of T cells and B cells to show that it accurately identifies these cell types and detects well-known protein complexes. Next, by studying human peripheral blood mononuclear cells, we discover that naïve CD8+ T cells display the protein complex CD8-CD9. Finally, we study protein interactions during Toll-like receptor (TLR) signaling in human macrophages. We observe the formation of signal-specific protein complexes, find CD36 co-receptor activity and additive signal integration under lipopolysaccharide (TLR4) and Pam2CSK4 (TLR2) stimulation, and show that quantification of protein complexes identifies signaling inputs received by macrophages. Prox-seq provides access to an untapped measurement modality for single-cell phenotyping and can discover uncharacterized protein interactions in different cell types.