In this article, the issue of exponential stability (ES) is investigated for a class of switched stochastic neural networks (SSNNs) with proportional delay (PD). The key feature of PD is an unbounded time-varying delay. By considering the comparison principle and combining the extended formula for the variation of parameters, we conquer the difficulty in consideration of PD effects for such networks for the first time, where the subsystems addressed may be stable or unstable. New delay-dependent conditions with respect to the mean-square ES of systems are established by employing the average dwell-time (ADT) technique, stochastic analysis theory, and Lyapunov approach. It is shown that the acquired minimum average dwell time (MADT) is not only relevant to the stable subsystems (SSs) and unstable subsystems (USs) but also dependent on the decay ratio (DR), increasing ratio (IR), as well as PD. Finally, the availability of the derived results under an average dwell-time-switched regulation (ADTSR) is illustrated through two numerical simulation examples.