Introduction The aim of this article is to review the physiology of progesterone and focus on its physiological actions on tissues such as endometrium, uterus, mammary gland, cardiovascular system, central nervous system and bones. In the last decades, the interest of researchers has focused on the role of progesterone in genomic and non‐genomic receptor mechanisms. Materials and Methods We searched PubMed up to December 2014 for publications on progesterone/steroidogenesis. Results and Conclusions A better understanding of the biological genomic and non‐genomic receptor mechanisms could enable us in the near future to obtain a more comprehensive knowledge of the safety and efficacy of this agent during hormone replacement therapy (natural progesterone), in vitro fertilization (water‐soluble subcutaneous progesterone), in traumatic brain injury, Alzheimer's disease and diabetic neuropathy, even though further clinical studies are needed to prove its usefulness.