In this paper, we propose a novel adaptive filtering algorithm based on an iterative use of (i) the proximity operator and (ii) the parallel variable-metric projection. Our time-varying cost function is a weighted sum of squared distances (in a variable-metric sense) plus a possibly nonsmooth penalty term, and the proposed algorithm is derived along the idea of proximal forward-backward splitting in convex analysis. For application to sparse-system identification problems, we employ the (weighted) ℓ1 norm as the penalty term, leading to a time-varying soft-thresholding operator. As the simple example of the proposed algorithm, we present the variable-metric affine projection algorithm composed with the time-varying soft-thresholding operator. Numerical examples demonstrate that the proposed algorithms notably outperform their counterparts without soft-thresholding both in convergence speed and steady-state mismatch, while the extra computational complexity due to the additional soft-thresholding is negligibly low.