Recent studies found that progesterone (PROG) has a noticeable preventive effect on brain injuries. However, the underlying mechanisms of these effects, particularly on hypoxic ischemic brain damage (HIBD), remain unclear. This study observed the influence of PROG on the expression of cycloxygenase-2 (COX-2) and interleukin-1β (IL-1β) in HIBD neonatal rats, and explored the corresponding molecular mechanisms underlying the neuroprotective effect of PROG. Sixty 7-day-old neonatal Wistar rats were divided into sham operation (control), hypoxic ischemia (HI), and drug prophylaxis (PROG) groups, and HIBD animal models were routinely established. The PROG group was intraperitoneally injected with 0.5 g/L PROG at a dosage of 8 mg/kg 30 min before establishment of the model. All the animals were sacrificed 24 h after modeling. Changes in the COX-2 and IL-1β contents in the brain tissues were determined using enzyme-linked immunosorbent assay. Protein expression was observed using immunohistochemistry, and mRNA expression was determined using reverse transcription polymerase chain reaction. The expression and contents of COX-2 and IL-1β in the HI group were significantly higher than those in the control group (P < 0.01). Compared with the HI group, the PROG group showed noticeably lower expression and contents of COX-2 and IL-1β (P < 0.05). In conclusion, PROG can inhibit the expression of COX-2 and IL-1β in brain tissue, further reducing the level of COX-2 and IL-1β, which may be one of the mechanisms for protection from HIBD.