In order to deal with key exposure problem, we introduce forward secure technique into certificateless proxy signature scheme, and propose the formal definition and security model of the forward secure certificateless proxy signature. Our security model takes into account the super adversary in certificateless signature. Furthermore, we present a construction of forward secure certificateless proxy signature scheme with bilinear maps. Based on the difficulty of computational Diffie-Hellman problem, we prove the scheme is secure against chosen message attack in the random oracle model. Finally, we analyze efficiency of the proposed scheme.