Construction is known as one of the most dangerous industries in terms of worker safety. Collisions due the excessive proximity of workers to moving construction vehicles are one of the leading causes of fatal and non-fatal accidents on construction sites internationally. Proximity warning systems (PWS) have been proposed in the literature as a solution to detect the risk for collision and to alert workers and equipment operators in time to prevent collisions. Although the role of sensing technologies for situational awareness has been recognised in previous studies, several factors still need to be considered. This paper describes the design of a prototype sensor-based PWS, aimed mainly at small and medium-sized construction companies, to collect real-time data directly from construction sites and to warn workers of a potential risk of collision accidents. It considers, in an integrated manner, factors such as cost of deployment, the actual nature of a construction site as an operating environment and data protection. A low-cost, ultra-wideband (UWB)-based proximity detection system has been developed that can operate with or without fixed anchors. In addition, the PWS is compliant with the General Data Protection Regulation (GDPR) of the European Union. A privacy-by-design approach has been adopted and privacy mechanisms have been used for data protection. Future work could evaluate the PWS in real operational conditions and incorporate additional factors for its further development, such as studies on the timely interpretation of data.