Let $G$ and $H$ be locally compact groups. Assume that $G$ acts on a standard probability space $(S,\mu)$, $\mu$ being $G$-invariant. We prove that if there exists a Borel cocycle $\alpha:S\times G\longrightarrow H$ which is proper in an appropriate sense, then $G$ inherits some approximation properties of $H$, for instance amenability or the so-called Haagerup Approximation Property. On the other hand, if $G_{0}$ is a closed subgroup of $G$, if the pair $(G,G_{0})$ has the relative property (T) of Margulis [19] and if either $H$ has Haagerup Approximation Property, or if it is the unitary group of a finite von Neumann algebra with a similar property, then we give rigidity results analogous to that in [23] and [1].