In recent decades, clinical and experimental studies have revealed that estradiol contributes enormously to glycemic homeostasis. However, the same consensus does not exist in women during menopause who undergo replacement with progesterone or conjugated estradiol and progesterone. Since most hormone replacement treatments in menopausal women are performed with estradiol (E2) and progesterone (P4) combined, this work aimed to investigate the effects of progesterone on energy metabolism and insulin resistance in an experimental model of menopause (ovariectomized female mice—OVX mice) fed a high-fat diet (HFD). OVX mice were treated with E2 or P4 (or both combined). OVX mice treated with E2 alone or combined with P4 displayed reduced body weight after six weeks of HFD feeding compared to OVX mice and OVX mice treated with P4 alone. These data were associated with improved glucose tolerance and insulin sensitivity in OVX mice treated with E2 (alone or combined with P4) compared to OVX and P4-treated mice. Additionally, E2 treatment (alone or combined with P4) reduced both hepatic and muscle triglyceride content compared with OVX control mice and OVX + P4 mice. There were no differences between groups regarding hepatic enzymes in plasma and inflammatory markers. Therefore, our results revealed that progesterone replacement alone does not seem to influence glucose homeostasis and ectopic lipid accumulation in OVX mice. These results will help expand knowledge about hormone replacement in postmenopausal women associated with metabolic syndrome and non-alcoholic fatty liver disease.