Most LLM-driven conversational AI systems operate reactively, responding to user prompts without guiding the interaction. Most LLM-driven conversational AI systems operate reactively, responding to user prompts without guiding the interaction. However, many real-world applications-such as psychiatric diagnosis, consulting, and interviews-require AI to take a proactive role, asking the right questions and steering conversations toward specific objectives. Using mental health differential diagnosis as an application context, we introduce ProAI, a goal-oriented, proactive conversational AI framework. ProAI integrates structured knowledge-guided memory, multi-agent proactive reasoning, and a multi-faceted evaluation strategy, enabling LLMs to engage in clinician-style diagnostic reasoning rather than simple response generation. Through simulated patient interactions, user experience assessment, and professional clinical validation, we demonstrate that ProAI achieves up to 83.3% accuracy in mental disorder differential diagnosis while maintaining professional and empathetic interaction standards. These results highlight the potential for more reliable, adaptive, and goal-driven AI diagnostic assistants, advancing LLMs beyond reactive dialogue systems.