Progesterone is a sex steroid hormone that plays a critical role in the establishment and maintenance of pregnancy. This hormone drives numerous maternal physiological adaptations to ensure the continuation of pregnancy and to facilitate fetal growth, including broad and potent modulation of the maternal immune system to promote maternal-fetal tolerance. In this brief review, we provide an overview of the immunomodulatory functions of progesterone in the decidua, placenta, myometrium, and maternal circulation during pregnancy. Specifically, we summarize current evidence of the regulated functions of innate and adaptive immune cells induced by progesterone and its downstream effector molecules in these compartments, including observations in human pregnancy and in animal models. Our review highlights the gaps in knowledge of interactions between progesterone and maternal cellular immunity that may direct future research.