Animal models and a few human investigations suggest progesterone may be associated with anxiety. Progesterone naturally fluctuates across the menstrual cycle, offering an opportunity to understand how within-person increases in progesterone and average progesterone levels across the cycle correspond to women's anxiety. Across two longitudinal studies, we simultaneously modeled the between- and within-person associations between progesterone and anxiety using multilevel modeling. In Study 1, 100 Polish women provided saliva samples and reported their anxiety at three phases of the menstrual cycle: follicular, peri-ovulatory, and luteal. A significant between-person effect emerged, revealing that women with higher average progesterone levels across their cycles reported higher levels of anxiety than women with lower progesterone cycles. This effect held controlling for estradiol. In Study 2, 61 American women provided saliva samples and reported their attachment anxiety during laboratory sessions during the same three cycle phases. A significant between-person and within-person association emerged: women with higher average progesterone levels reported higher levels of attachment anxiety, and as women's progesterone levels increased across their cycles, so too did their attachment anxiety. These effects held controlling for cortisol. In sum, both studies provide support for a link between menstrual cycle progesterone levels and subjective anxiety.