Background: Preterm birth is a global health priority. Using a progestogen during high-risk pregnancy could reduce preterm birth and adverse neonatal outcomes. Methods: We did a systematic review of randomised trials comparing vaginal progesterone, intramuscular 17-hydroxyprogesterone caproate (17-OHPC), or oral progesterone with control, or with each other, in asymptomatic women at risk of preterm birth. We identified published and unpublished trials that completed primary data collection before July 30, 2016, (12 months before data collection began), by searching MEDLINE, Embase, CINAHL, the Maternity and Infant Care Database, and relevant trial registers between inception and July 30, 2019. Trials of progestogen to prevent early miscarriage or immediately-threatened preterm birth were excluded. Individual participant data were requested from investigators of eligible trials. Outcomes included preterm birth, early preterm birth, and mid-trimester birth. Adverse neonatal sequelae associated with early births were assessed using a composite of serious neonatal complications, and individually. Adverse maternal outcomes were investigated as a composite and individually. Individual participant data were checked and risk of bias assessed independently by two researchers. Primary meta-analyses used one-stage generalised linear mixed models that incorporated random effects to allow for heterogeneity across trials. This meta-analysis is registered with PROSPERO, CRD42017068299. Findings: Initial searches identified 47 eligible trials. Individual participant data were available for 30 of these trials. An additional trial was later included in a targeted update. Data were therefore available from a total of 31 trials (11 644 women and 16185 offspring). Trials in singleton pregnancies included mostly women with previous spontaneous preterm birth or short cervix. Preterm birth before 34 weeks was reduced in such women who received vaginal progesterone (nine trials, 3769 women; relative risk [RR] 0·78, 95% CI 0·68–0·90), 17-OHPC (five trials, 3053 women; 0·83, 0·68–1·01), and oral progesterone (two trials, 181 women; 0·60, 0·40–0·90). Results for other birth and neonatal outcomes were consistently favourable, but less certain. A possible increase in maternal complications was suggested, but this was uncertain. We identified no consistent evidence of treatment interaction with any participant characteristics examined, although analyses within subpopulations questioned efficacy in women who did not have a short cervix. Trials in multifetal pregnancies mostly included women without additional risk factors. For twins, vaginal progesterone did not reduce preterm birth before 34 weeks (eight trials, 2046 women: RR 1·01, 95% CI 0·84–1·20) nor did 17-OHPC for twins or triplets (eight trials, 2253 women: 1·04, 0·92–1·18). Preterm premature rupture of membranes was increased with 17-OHPC exposure in multifetal gestations (rupture <34 weeks RR 1·59, 95% CI 1·15–2·22), but we found no consistent evidence of benefit or harm for other outcomes with either vaginal progesterone or 17-OHPC. Interpretation: Vaginal progesterone and 17-OHPC both reduced birth before 34 weeks' gestation in high-risk singleton pregnancies. Given increased underlying risk, absolute risk reduction is greater for women with a short cervix, hence treatment might be most useful for these women. Evidence for oral progesterone is insufficient to support its use. Shared decision making with woman with high-risk singleton pregnancies should discuss an individual's risk, potential benefits, harms and practicalities of intervention. Treatment of unselected multifetal pregnancies with a progestogen is not supported by the evidence. Funding: Patient-Centered Outcomes Research Institute.