It helps prevent osteoporosis in a manner that complements estrogen. While estrogen prevents bone breakdown, progesterone actually promotes bone rebuilding by stimulating the osteoblasts (the cells that create the bone fabric itself). As with many things that progesterone does, the effect when used in conjunction with estrogen is stronger than when progesterone is studied on its own.
It has a number of metabolic and nutritional effects. It promotes the use of fat for energy, thus opposing the estrogenic tendency to fat storage. It normalizes blood sugar levels, but can cause insulin resistance at high levels by interfering with the action of insulin. It has a thermogenic effect—it makes you warmer by increasing blood flow to the skin. It counters estrogenic binding of zinc and copper, thus normalizing those levels.

Progesterone exerts a diuretic effect, helping to get rid of the fluid bloating that estrogen can cause. At the proper dose level, it is equal in effect to spironolactone, a diuretic used to combat certain types of high blood pressure.
In the brain, progesterone concentrations are up to 20 times higher than in the blood. Progesterone has a soothing effect that is so significant that it is given to treat the (rare) seizures caused by the stimulatory effect of estrogen. Chemically, it has the same effect as Valium or Xanax or some anesthetic agents. It also exerts a lesser neurovascular effect in decreasing migraines caused by estrogen. It can promote sleep and counteract edginess, anxiety and panic. It contributes to the lessening of the memory problems seen with low hormone levels. It evens moods. In excess, it can cause depression.
While it has not been demonstrated to have as significant an effect as estrogen on vaginal and urinary tract health, many women report that the addition of progesterone does indeed help nourish these tissues. There are progesterone receptors in these areas, so there are grounds to support its action. Part of the effect too may be a result of the “estrogen-sparing” effect whereby progesterone frees up estrogen to circulate elsewhere.
Progesterone is beneficial to thyroid function. It helps keep zinc and potassium in cells, which allows thyroid hormone to enter and be converted into the active form (T3). Given that estrogen inhibits thyroid hormone action, this makes progesterone especially important to women with thyroid dysfunction (and menopausal women are so at risk for this that thyroid testing should be a part of any menopausal workup).
Progesterone in some recent studies, to provide greater cardiovascular benefits. This is new research and the mechanism is only speculated about, but the benefits do seem to be real. These benefits are not demonstrated by progestins, making the distinction very important in evaluating news articles reporting research results.
Progesterone seems to reduce the severity of allergic reactions and allergies. Women who suddenly seem to develop allergies to everything in sight after a hyst may be demonstrating low levels of progesterone.