Systems and methods for providing pre-emptive intercept warning for online privacy or security are disclosed. In one embodiment, at a privacy security appliance comprising at least one computer processor, a method for may include: (1) establishing a virtual private network (VPN) connection with a computer application executed by a client device; (2) receiving, over the VPN connection, an internet protocol (e.g., HTTP or HTTPS) request for a website host; (3) communicating the internet protocol request to the website host; (4) receiving a response to the internet protocol request from the website host; (5) inspecting the response for privacy or security issues with embedded links in the response; (6) scoring the embedded links based on the inspection; (7) generating a mock webpage based on the response comprising the scoring for the embedded links; and (8) delivering the mock webpage with the scoring to the application over the VPN. The mock webpage may include links to the embedded links.