I tried it using a proxy to tunnel git through a firewall as described here and here, but without success. Maybe I didn’t try hard enough. But I found this mail on the comp.version-control.git mailing list explaining how to use git with a SOCKS. It works.
As the link to the connect.c file there is broken, you can use the link to connect.c on the page linked above.
Update: You may need to set and export the proxy variable every time before pulling.