Allopregnanolone protects the fetal brain and promotes normal development including myelination. Preterm birth results in the early separation of the infant from the placenta and consequently a decline in blood and brain allopregnanolone concentrations. Progesterone therapy may increase allopregnanolone and lead to improved oligodendrocyte maturation. The objectives of this study were to examine the efficacy of progesterone replacement in augmenting allopregnanolone concentrations during the postnatal period and to assess the effect on cerebellar myelination - a region with significant postnatal development. Preterm guinea pig neonates delivered at 62 days of gestation by caesarean section received daily s.c. injections of vehicle (2-Hydroxypropyl-β-cyclodextrin) or progesterone (16 mg/kg) for 8 days until term-equivalent age (TEA). Term delivered controls (PND1) received vehicle. Neonatal condition/wellbeing was scored, and salivary progesterone was sampled over the postnatal period. Brain and plasma allopregnanolone concentrations were measured by radioimmunoassay; cortisol and progesterone concentrations were determined by enzyme immunoassay; and myelin basic protein (MBP), proteolipid protein (PLP), oligodendroctye transcription factor 2 (OLIG2) and platelet-derived growth factor receptor-α (PDGFRα) were quantified by immunohistochemistry and western blot. Brain allopregnanolone concentrations were increased in progesterone-treated neonates. Plasma progesterone and cortisol concentrations were elevated in progesterone-treated male neonates. Progesterone treatment decreased MBP and PLP in lobule X of the cerebellum and total cerebellar OLIG2 and PDGFRα in males but not females at TEA compared with term animals. We conclude that progesterone treatment increases brain allopregnanolone concentrations, but also increases cortisol levels in males, which may disrupt developmental processes. Consideration should be given to the use of non-metabolizable neurosteroid agonists.