Preterm birth (PTB) occurs in 5–18% of pregnancies and is the leading cause of neonatal morbidity, mortality and infant death. Up to 30% of PTBs are due to iatrogenic reasons, but the remainder are due to the spontaneous onset of labour or pre-labour premature rupture of membranes (P-PROM). During pregnancy, the uterus remains quiescent and the cervix remains long and closed. Although the exact mechanisms that lead to spontaneous PTB (sPTB) are not fully understood, it is likely that the terminal pathways that are common to term labour are activated prematurely. Despite continued research efforts to develop preventative strategies, there have been no major advances resulting in the reduction of sPTB rates. Progesterone is the most researched prophylactic agent, yet, there is lack of consistency in the reported beneficial effects for the prevention of PTB and improvement in neonatal outcome. This is likely to stem from the multifactorial aetiology of sPTB, the varied patient cohorts recruited and the use of different preparations and routes of administration for progesterone. This review summarises the scientific rationale supporting the efficacy of progesterone and the results of major randomised controlled trials and finally emphasizes how targeted studies with more detailed patient stratification are essential to understand which population would benefit.