Recent evidence has continued to support the applicability of progesterone in preventing preterm birth, hence the development of an appropriate vaginal delivery system for this drug would be of considerable interest. Here, we describe the development of progesterone-loaded bioadhesive nanofibers using pressurized gyration for potential incorporation into a vaginal insert, with a particular view to addressing the challenges of incorporating a poorly water-soluble drug into a hydrophilic nanofiber carrier. Polyethylene oxide and carboxymethyl cellulose were chosen as polymers to develop the carrier systems, based on previous evidence of their yielding mucoadhesive nanofibers using the pressurized gyration technique. The fabrication parameters such as solvent system, initial drug loading and polymer composition were varied to facilitate optimisation of fiber structure and efficiency of drug incorporation. Such studies resulted in the formation of nanofibers with satisfactory surface appearance, diameters in the region of 400 nm and loading of up to 25% progesterone. Thermal and spectroscopic analyses indicated that the drug was incorporated in a nanocrystalline state. Release from the drug-loaded fibers indicated comparable rates of progesterone dissolution to that of Cyclogest, a commercially available progesterone pessary, allowing release over a period of hours. Overall, the study has shown that pressurized gyration may produce bioadhesive progesterone-loaded nanofibers which have satisfactory loading of a poorly water-soluble drug as well as having suitable structural and release properties. The technique is also capable of producing fibers at a yield commensurate with practical applicability, hence we believe that the approach shows considerable promise for the development of progesterone dosage forms for vaginal application.