BMJ Group Medical Reference
Progesterone is a natural chemical that your body makes. It's one of the main female hormones. Taking a man-made version of this hormone (a progestogen) may help to prevent premature births for some women.
In most of the studies of this treatment, women at risk of a premature birth were given the hormone as an injection. In other studies, women took it as a type of pill that they put in their vagina (a pessary).
A review of the research found that: 
Women who took a progestogen were also less likely to have a baby with a low birth weight. 
Three summaries of the research found that a progestogen helped to prevent premature birth in women who had a short cervix (the opening of the womb) or in women who had had a previous premature birth.   
But progestogen does not seem to reduce the risk for women having twins or multiple births.     And it may not help for very early premature births, before 34 weeks. 
One of the summaries of research found that babies were less likely to have bleeding in the brain ( haemorrhage) if their mothers took progestogen. But there was no evidence of more breathing problems in the babies of women who had progestogen. 
The research hasn't found any serious side effects of progestogen injections. However, there haven't been any studies of the long-term effects of this treatment in mothers or babies. We need more research to know how safe this treatment is in the long term.