Preterm birth is currently the most important problem in maternal-child health in the United States and possibly throughout the world. It complicates one in eight US deliveries, and accounts for over 85% of all perinatal morbidity and mortality. Although survival of preterm infants has increased steadily over the past four decades—due in large part to the use of antenatal corticosteroids, improvements in neonatal resuscitation, and the introduction of neonatal intensive care units—efforts to prevent preterm birth have been largely unsuccessful. On February 3, 2011, the US Food and Drug Administration (FDA) approved the use of progesterone supplementation (hydroxyprogesterone caproate) during pregnancy to reduce the risk of recurrent preterm birth in women with a history of at least one prior spontaneous preterm delivery. This is the first time that the FDA has approved a medication for the prevention of preterm birth, and represents the first approval of a drug specifically for use in pregnancy in almost 15 years. This article reviews the evidence behind the use of progesterone for the prevention of preterm birth, and provides guidelines for the use of progesterone supplementation in clinical practice. A number of areas of ongoing controversy are addressed, including the optimal formulation and route of administration, the safety of progesterone supplementation in pregnancy, and its proposed mode of action.