Progesterone has a broad spectrum of actions in the brain. Among these, the neuroprotective effects are well documented. Progesterone neural effects are mediated by multiple signaling pathways involving binding to specific receptors (intracellular progesterone receptors (PR); membrane-associated progesterone receptor membrane component 1 (PGRMC1); and membrane progesterone receptors (mPRs)) and local bioconversion to 3α,5α-tetrahydroprogesterone (3α,5α-THPROG), which modulates GABAA receptors. This brief review aims to give an overview of the synthesis, metabolism, neuroprotective effects, and mechanism of action of progesterone in the rodent and human brain. First, we succinctly describe the biosynthetic pathways and the expression of enzymes and receptors of progesterone; as well as the changes observed after brain injuries and in neurological diseases. Then, we summarize current data on the differential fluctuations in brain levels of progesterone and its neuroactive metabolites according to sex, age, and neuropathological conditions. The third part is devoted to the neuroprotective effects of progesterone and 3α,5α-THPROG in different experimental models, with a focus on traumatic brain injury and stroke. Finally, we highlight the key role of the classical progesterone receptors (PR) in mediating the neuroprotective effects of progesterone after stroke.