Domain generalization refers to the problem of training a model from a collection of different source domains that can directly generalize to the unseen target domains. A promising solution is contrastive learning, which attempts to learn domain-invariant representations by exploiting rich semantic relations among sample-to-sample pairs from different domains. A simple approach is to pull positive sample pairs from different domains closer while pushing other negative pairs further apart. In this paper, we find that directly applying contrastive-based methods (e.g., supervised contrastive learning) are not effective in domain generalization. We argue that aligning positive sample-to-sample pairs tends to hinder the model generalization due to the significant distribution gaps between different domains. To address this issue, we propose a novel proxy-based contrastive learning method, which replaces the original sample-to-sample relations with proxy-to-sample relations, significantly alleviating the positive alignment issue. Experiments on the four standard benchmarks demonstrate the effectiveness of the proposed method. Furthermore, we also consider a more complex scenario where no ImageNet pre-trained models are provided. Our method consistently shows better performance.