Our understanding of the biology of gonadal steroids has expanded such that we now appreciate that the effects of gonadal steroid hormones, including estradiol and progesterone, extend beyond the strict confines of reproductive function and exert their effects on a wide range of tissue targets including, but not limited to, the bone, the heart and the brain. With respect to the brain, an increasing body of literature supports the protective effects of estradiol and progesterone. However, results from the Women's Health Initiative (WHI) underscored the fact that there may be important caveats to these protective effects and include the choice of hormone used. Here, we describe our current understanding of the neurobiology of progesterone and the synthetic progestin used in most formulations of hormone therapy, medroxyprogesterone acetate, and provide a review of the basic and clinical literature that address the importance of progestins in neuroprotection. In addition, we caution that the effects and mechanisms underlying the neurobiological effects of progestins may not be identical to those seen in non central nervous systems. And though additional research is certainly needed to explore the neurobiology of progesterone and its related progestins more completely, we provide evidence that, at least with respect to the brain, not all progestins are created equal.