Corticosteroid-binding globulin (CBG) transports glucocorticoids and progesterone in the blood and thereby modulates the tissue availability of these hormones. As a member of the serine protease inhibitor (SERPIN) family, CBG displays a reactive center loop (RCL) that is targeted by proteinases. Cleavage of the RCL is thought to trigger a SERPIN-typical stressed-to-relaxed (S-to-R) transition that leads to marked structural rearrangements and a reduced steroid-binding affinity. To characterize structure-function relationships in CBG we studied various conformational states of E. coli-produced rat and human CBG. In the 2.5 Å crystal structure of human CBG in complex with progesterone, the RCL is cleaved at a novel site that differs from the known human neutrophil elastase recognition site. Although the cleaved RCL segment is five residues longer than anticipated, it becomes an integral part of β-sheet A as a result of the S-to-R transition. The atomic interactions observed between progesterone and CBG explain the lower affinity of progesterone in comparison to corticosteroids. Surprisingly, CD measurements in combination with thermal unfolding experiments show that rat CBG fails to undergo an S-to-R transition upon proteolytic cleavage of the RCL hinting that the S-to-R transition observed in human CBG is not a prerequisite for CBG function in rat. This observation cautions against drawing general conclusions about molecular mechanisms by comparing and merging structural data from different species.