Proxima Centauri is 4.28 light years away from us.
Alpha Centauri - 4.38 ly
Barnard's Star - 5.91 ly
Wolf 359 - 7.60 ly

I realise that there are conflicting values in other nodes.
Having never measured the distance personally I cannot say for sure who is right and wrong.

Star                 Mass      Spec.       Type           Dist.
-----------------------------------------------------------------------
Sol                   1.0       G2        yellow-main       -
Proxima Centauri       .1       M5        red dwarf        4.3
Rigil Kent A          1.1       G2        yellow-main      4.4
Rigil Kent B          .89       K6        orange-main      4.4
Barnard's Star        .15       M5        red dwarf        5.9
Wolf 359               .2       M8        red dwarf        7.6
Lalande 21185         .35       M2        red dwarf        8.1
Sirius A              2.3       A1        white-main       6.4
Sirius B              .98       DA        white dwarf      6.4
Luyten 726-8          .12       M6        red dwarf        8.9
UV Ceti                .1       M6        red dwarf        8.9
Ross 154              .31       M5        red dwarf        9.5
Ross 248              .25       M6        red dwarf       10.3
Epsilon Eridani        .8       K2        orange-main     10.7
Luyten 789-6          .25       M6        red dwarf       10.8
Ross 128              .31       M5        red dwarf       10.8
61 Cygni A            .59       K5        orange-main     11.2
61 Cygni B             .5       K7        orange-main     11.2
Epsilon Indi          .71       K5        orange-main     11.2
Procyon A            1.77       F5        white-main      11.4
Procyon B             .63       DF        white dwarf     11.4
59 1915 A              .4       M4        red dwarf       11.5
59 1915 B              .4       M5        red dwarf       11.5
Groombridge A         .38       M2        red dwarf       11.6
Groombridge B          --       M4        red dwarf       11.6
Lacaille 9352         .47       M2        red dwarf       11.7
Tau Ceti              .82       G8        yellow-main     11.9

Mass is in solar masses. Spec. refers to Spectral Type. Rigil Kent is the star system known in the Northern Hemisphere as the Alpha Centauri system. Distance is, of course, in light years.

Source is The Millennial Project by Marshall T. Savage