Progesterone is indispensable for the maintenance of pregnancy, both via its endocrine effects and its role in creating a favorable immunological environment for the fetus. This review focuses on the immunological effects of progesterone. Progestogens have been shown to have very interesting effects on cytokine production and decidual natural killer (NK) cell activity. The orally-administered progestogen, dydrogesterone, has the ability to modulate cytokine production patterns in a manner that could be conducive to successful pregnancy. The adverse effects of progesterone deficiency and the beneficial effects of progesterone supplementation in pregnancy pathologies will be discussed.