Objective: In order to improve patient compliance and the ease of use during progesterone application, and to increase the clinical application of progesterone, progesterone was made into a microneedle. Methods: Progesterone complexes were prepared using a single-factor and central composite design. In the preparation of the microneedles, the tip loading rate was used as an evaluation index. The selection of tip materials among the biocompatible materials of gelatin (GEL), hyaluronic acid (HA), and polyvinylpyrrolidone (PVP), and the use of polyvinyl alcohol (PVA) and hydroxypropyl cellulose (HPC) as backing layers, respectively, were carried out and the resulting microneedles were evaluated accordingly. Results: The progesterone inclusion complexes prepared at a molar ratio of 1:2.16 progesterone and hydroxypropyl-β-cyclodextrin (HP-β-CD), a temperature of 50 °C, and reaction time of 4 h had high encapsulation and drug-loading capacities of 93.49% and 9.55%, respectively. Gelatine was finally chosen as the material for the preparation of the micro-needle tip based on the drug loading rate of the tip. Two types of microneedles were prepared: one with 7.5% GEL as the tip and 50% PVA as the backing layer, and one with 15% GEL as the tip and 5% HPC as the backing layer. The microneedles of both prescriptions exhibited good mechanical strength and penetrated the skin of rats. The needle tip loading rates were 49.13% for the 7.5% GEL-50% PVA microneedles and 29.31% for the 15% GEL-5% HPC microneedles. In addition, in vitro release and transdermal experiments were performed using both types of microneedles. Conclusion: The microneedles prepared in this study enhanced the in vitro transdermal amount of progesterone drug by releasing the drug from the microneedle tip into the subepidermis.