Proximity refers to the understanding that elements that are closer together are perceived to be more related than elements that are farther apart. This understanding should be considered in designing.
Example from Original Source:

Source: Universal Principles of Design
Example from Different Source:

Source: https://blog.thepapermillstore.com/design-principles-proximity/
Real World Example:

Source: My Espresso Machine

Thanks for your comment, Amit! I completely agree, the ESPN sitemaps are helpful for navigating complex websites. It helps users understand where to find things. However, an ideal website should have intuitive grouping of similar functionalities so that a user doesn’t have to look at the sitemap.
Your explanation for proximity is spot on! The example of the Espresso Machine is great because without grouping the buttons, ti can be very confusing.
For me, every website’s sitemap usually involves some level of proximity. Especially for complex sites.
http://www.espn.com/espn/sitemap