Below are steps to create a proxy to run a SQL Agent Job. 


Step 1 - Create New Credential


Open SSMS, select Security - Credentials. Right-click and select "New Credential..."


Enter a valid SQL User and password with Windows Authentication. 




Step 2 - Create New Proxy


Select SQL Agent Job - Proxies. Right-click and select "New Proxy..."


Select the required desired subsystem, for example a proxy to process SSAS cube.


- Enter the Proxy Name. 

- Select the Credential created in prior step. 

- Activate the desired command/features in subsystem. 




Step 3 - Map Proxy in SQL Server Job


Select SQL Server Agent - Jobs


Open the desired job and add/edit Step


- Enter Step Name

- Select the Job Type, for example SSAS Command

- Map the new Proxy in "Run As:"