Context. We present the analysis of emission lines in high-resolution optical spectra of the planet-host star Proxima Centauri (Proxima) classified as a M5.5V. Aims: We carry out a detailed analysis of the observed spectra to get a better understanding of the physical conditions of the atmosphere of this star. Methods: We identify the emission lines in a series of 147 high-resolution optical spectra of the star at different levels of activity and compare them with the synthetic spectra computed over a wide spectral range. Results: Our synthetic spectra computed with the PHOENIX 2900/5.0/0.0 model atmosphere fits the observed spectral energy distribution from optical to near-infrared quite well. However, modelling strong atomic lines in the blue spectrum (3900-4200 Å) requires implementing additional opacity. We show that high-temperature layers in Proxima Centauri consist of at least three emitting parts: a) a stellar chromosphere where numerous emission lines form; we suggest that some emission cores of strong absorption lines of metals form there; b) flare regions above the chromosphere, where hydrogen Balmer lines up to high transition levels (10-2) form; and c) a stellar wind component with Vr = -30 km s-1 seen in some Balmer lines as blueshifted emission lines. We believe that the observed He line at 4026 Å in emission can be formed in that very hot region. Conclusions: We show that the real structure of the atmosphere of Proxima is rather complicated. The photosphere of the star is best fit by a normal M5 dwarf spectrum. On the other hand, emission lines form in the chromosphere, flare regions, and extended hot envelope. The movies are available at http://www.aanda.org