He's proud __ his students. (of/for)
Both could be used here.
Most likely "of" would be correct, meaning he is only talking about his own feelings.
But "for" could mean he shares pride with them. It shifts the focus slightly from himself to the others.
Most of this comes with practice.
There is no hard and fast rule for choosing which preposition to use in many cases.
Some are obvious - above, over, under, around, near, etc.
Some are simply learned from hearing and usage - of, for, by, in, etc.
Don't be discouraged. English is a language that has fun confusing us. ;) It will come.