Kazakh Golovkin, 30, improves to 24-0, with 21 of those victories coming by the way of knockout.
In an impressive win he had Proksa, 27, on the floor in the first and fourth rounds before sending him to the canvas face first in the fifth.
Golovkin turned professional in 2006, two years after winning middleweight silver at the Athens Olympics.
Pole Proksa's record now stands at 28(21)-2. His only previous loss in a seven-year professional career came against Yorkshire fighter Kerry Hope in March.
It was both boxers' first fight in the United States, with Golovkin having moved there to train with highly-regarded Abel Sanchez in Big Bear, California.
"It's a dream for me to fight in Vegas and New York," Golovkin said before the fight. "You think about boxing and you think of Las Vegas and New York. I want my name up there with all those greats who fought there."
On the undercard undefeated Jonathan Gonzalez (16-0-1) and former WBO light middleweight champion Sergiy Dzinziruk (37-1-1) drew with the scores 117-111 for Gonzalez, 115-113 for Dzinziruk and 114-114.
Gonazalez had weighed in nine pounds heavy but, after Dzinziruk agreed to being paid an extra $100,000, the bout went ahead at super middleweight.