Install the packages.

apt install zabbix-sql-scripts zabbix-proxy-sqlite3

Create the directory for the database.

mkdir -p /var/lib/zabbix/
chown zabbix:zabbix /var/lib/zabbix/

Create the database and load the proxy schema.

sqlite3 /var/lib/zabbix/zabbix_proxy.db </usr/share/zabbix-sql-scripts/sqlite3/proxy.sql
chown zabbix:zabbix /var/lib/zabbix/zabbix_proxy.db

Edit the proxy configuration.

vi /etc/zabbix/zabbix_proxy.conf

Set the path to the database.

DBName=/var/lib/zabbix/zabbix_proxy.db

Restart the proxy.

systemctl restart zabbix-proxy.service