We demonstrate the role of proximity effect in the thermal hysteresis of superconducting constrictions. From the analysis of successive thermal instabilities in the transport characteristics of micron-size superconducting quantum interference devices with a well-controlled geometry, we obtain a complete picture of the different thermal regimes. These determine whether the junctions are hysteretic or not. Below the superconductor critical temperature, the critical current switches from a classical weak-link behavior to one driven by the proximity effect. The associated small amplitude of the critical current makes it robust with respect to the heat generation by phase-slips, leading to a non-hysteretic behavior.