Dodds has been in charge at OgilvyOne since July 2006, when he was promoted from joint managing director of the agency.
He led the agency's BT, British Gas and Cancer Research UK accounts.
Proximity this week parted company with chief executive Amanda Phillips, who stepped down without a job to go to.
Cilla Snowball, chairman of Proximity and the AMV Group, said: "Mike brings gravitas, experience and a track record of delivering great digital and creative offerings to clients.
"Mike is someone we have admired from afar for years and I'm thrilled he is now part of our team."
Paul O'Donnell, chairman of Europe Africa and the Middle East at OgilvyOne Worldwide, said: "We are sorry to see Mike go, he has made a huge contribution to this agency, and we wish him all the best in his new endeavour.
"Meanwhile it is very much 'business as usual' here for both our clients and our staff. Our talented and long-serving senior management, led by Annette King and Sam Williams-Thomas will ensure that the agency will continue to run as smoothly as ever."