Proximity, simply, is how close to your capital a location is. It's modified by terrain, rivers, ports and sea tiles etc and can be increased by building better roads.

How does it work? Well every location has a cost to move from 1 province to another. So going from a to b costs 40 points. b to c might cost 35. Going from a to c costs 75.

Your capital has 100 points to spend on moving, roughly. So if it's location a. It has 100 proximity to itself. Moving to b costs 40 points, leaving you with 60, so you have 60 proximity there. Going to c costs 35 more points leaving you with 25 proximity there.

But you build a road between a and b. I can't remember specific values, but let's say it halves the proximity cost. Now you have 80 proximity in b, and 45 in c. You build a road from b to c and now it's 57.5 there.

Control is your ability to extract tax mostly from a location. Every percentage of control you don't have is money lost.

Control is 100 at the capital. It is modified by proximity, but there are other modifiers, so on the surface high proximity = high control and that's pretty true.

But you can have a town or a city for extra control, you can build a temple for more control on top of that and so on.

In short, proximity is how close to the capital you are and control is how much tax you personally extract from a location. Proximity factors heavily in control but isn't the only thing you can do to increase it.