This study investigated the effects of progesterone (PROG) on neonatal hypoxic/ischemic (NHI) brain injury, the differences in effects between genders, and the underlying mechanisms. NHI brain injury was established in both male and female neonatal mice induced by occlusion of the left common carotid artery followed by hypoxia. The mice were treated with PROG or vehicle. Fluoro-Jade B staining (F-JB), long term behavior testing, and brain magnetic resonance image (MRI) were applied to evaluate neuronal death, neurological function, and brain damage. The underlying molecular mechanisms were also investigated by Western blots. The results showed that, in the male mice, administration of PROG significantly reduced neuronal death, improved the learning and memory function impaired by cerebral HI, decreased infarct size, and maintained the thickness of the cortex after cerebral HI. PROG treatment, however, did not show significant neuroprotective effects on female mice subjected to HI. In addition, the data demonstrated a gender difference in the expression of tumor necrosis factor receptor 1 (TNFR1), TNF receptor associated factor 6 (TRAF6), Fas associated protein with death domain (FADD), and TIR-domain-containing adapter-inducing interferon-β (TRIF) between males and females. Our results indicated that treatment with PROG had beneficial effects on NHI injured brain in acute stage and improved the long term cognitive function impaired by cerebral HI in male mice. In addition, the activation of TNF and TRIF mediated signaling in response to cerebral HI and the treatment of PROG varied between genders, which highly suggested that gender differences should be emphasized in evaluating neonatal HI brain injury and PROG effects, as well as the underlying mechanisms.