Proud is a fairly general word used to say that someone is pleased with themselves, pleased with what they have achieved, or pleased with something or someone connected with them such as their school or their family • His proud parents watched the presentation. • I'm very proud of my students. • She was proud to be in the team.
Proud is usually neither approving nor disapproving, although you can say someone is too proud, meaning that they will not admit they are wrong or need help.
Arrogant is a disapproving word meaning that someone thinks they are better than other people • He was so arrogant he thought he could not possibly lose. • the arrogant way she dismisses my opinions
Conceited and big-headed are disapproving words meaning that someone thinks they or their achievements are better than they really are
Conceited is fairly formal and big-headed is informal.
Vain is a disapproving word meaning that someone thinks they are very special, especially because they are very proud of the way they look.