Proxy signature is a useful cryptographic primitive that has been widely used in many applications. It has attracted a lot of attention since it was introduced. There have been lots of works in constructing efficient and secure proxy signature schemes. In this paper, we identify a new attack that has been neglected by many existing proven secure proxy signature schemes. We demonstrate this attack by launching it against an identity-based proxy signature scheme which is proven secure. We then propose one method that can effectively prevent this attack. The weakness in some other proxy signature schemes can also be fixed by applying the same method.