While the effects of progesterone in the CNS, like those of estrogen, have generally been considered within the context of reproductive function, growing evidence supports its importance in regulating non-reproductive functions including cognition and affect. In addition, progesterone has well-described protective effects against numerous insults in a variety of cell models, animal models and in humans. While ongoing research in several laboratories continues to shed light on the mechanism(s) by which progesterone and its related progestins exert their effects in the CNS, our understanding is still incomplete. Among the key mediators of progesterone's beneficial effects is the family of growth factors called neurotrophins. Here, we review the mechanisms by which progesterone regulates one important member of the neurotrophin family, brain-derived neurotrophic factor (BDNF), and provides support for its pivotal role in the protective program elicited by progesterone in the brain.