Steroid hormones are the key regulators of inflammatory and autoimmune processes. The role of steroid hormones is mostly inhibitory in these processes. The expression of IL-6, TNFα, and IL-1β, as markers of inflammation, and TGFβ, as a marker of fibrosis, could be useful tools to predict the response of an individual’s immune system to the different progestins suitable for the treatment of menopausal inflammatory disorders, including endometriosis. In this study, the progestins P4 and MPA, as well as the novel progestin gestobutanoyl (GB), which possess potent anti-inflammatory properties towards endometriosis, were studied at a fixed concentration of 10 µM. Their influence on the production of the above cytokines in PHA-stimulated peripheral blood mononuclear cells (PBMCs) during 24 h incubation was evaluated by ELISA. It was found that synthetic progestins stimulated the production of IL-1β, IL-6, and TNFα and inhibited TGFβ production, while P4 inhibited IL-6 (33% inhibition) and did not influence TGFβ production. In the MTT-viability test, P4 also decreased PHA-stimulated PBMC viability by 28% during 24 h incubation, but MPA and GB did not have any inhibitory or stimulatory effects. The luminol-dependent chemiluminescence (LDC) assay revealed the anti-inflammatory and antioxidant properties of all the tested progestins, as well as some other steroid hormones and their antagonists: cortisol, dexamethasone, testosterone, estradiol, cyproterone, and tamoxifen. Of these, tamoxifen showed the most pronounced effect on the oxidation capacity of PBMC but not on that of dexamethasone, as was expected. Collectively, these data demonstrate that PBMCs from menopausal women respond differently to P4 and synthetic progestins, most likely due to distinct actions via various steroid receptors. It is not only the progestin affinity to nuclear progesterone receptors (PR), androgen receptors, glucocorticoid receptors, or estrogen receptors that is important for the immune response, but also the membrane PR or other nongenomic structures in immune cells.