New versions of a Gronwall–Bellman inequality in the frame of the generalized (Riemann–Liouville and Caputo) proportional fractional derivative are provided. Before proceeding to the main results, we define the generalized Riemann–Liouville and Caputo proportional fractional derivatives and integrals and expose some of their features. We prove our main result in light of some efficient comparison analyses. The Gronwall–Bellman inequality in the case of weighted function is also obtained. By the help of the new proposed inequalities, examples of Riemann–Liouville and Caputo proportional fractional initial value problems are presented to emphasize the solution dependence on the initial data and on the right-hand side.