Set global proxy in Android
There are several proxy apps available to accomplish something like that. Though most of them require root access to the device, not all do (I have not tested any of them, so I cannot tell in detail).

However, a different approach might be checking into VPN apps, as that's pretty much what you targeting: a Virtual Private Network, where your server acts as a "checkpoint". Many of those VPN apps do not require root access, but many also use a dedicated VPN provider. Still, the linked lists should contain a working solution for you.

Disclosure: the linked lists are maintained by me, to provide you good "jump-points".