PuTTY configuration equivalent to OpenSSH ProxyCommand

Just in case you still use password for your jumphost is the option for that with an example.

plink.exe %user@%proxyhost -pw %pass -P %proxyport -nc %host:%port

The equivalent in PuTTY is "local proxy command". You can use the plink.exe with the -nc switch instead of the ssh with the -W switch:

PuTTY local proxy

The "local proxy command" is:

plink.exe %user@%proxyhost -P %proxyport -nc %host:%port

An alternative is to open a tunnel via the "MySshProxyServer" first using another instance of PuTTY (or Plink).

See for example:

How to create SSH tunnel using PuTTY in Windows?
My guide for tunneling SFTP/SCP session. It's for WinSCP, but just use PuTTY instead of WinSCP in section Connecting through the tunnel.

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