The purpose of this study is to investigate the interaction of progesterone with various cyclodextrins (CDs) in the aqueous solution and in solid state, and finally to formulate a parenteral aqueous formulation. CDs used were ${alpha}-$, ${eta}-$, and ${gamma}-CD$, $2-hydroxypropyl-{eta}-CD$ (HPCD), sulfobutyl $ether-{eta}-CD$ (SBCD), $dimethyl-{eta}-CD$ (DMCD) and $trimethyl-{eta}-CD$ (TMCD). The solubility studies of progesterone were performed in the presence of various CDs as a function of concentration or temperature. The solubility of progesterone increased in the rank order of ${alpha}-CD$ < ${eta}-CD$ < ${gamma}-CD$ < TMCD$ < HPCD < DMCD < SBCD. Addition of SBCD (200 mg/ml) in water increased the aqueous solubility $(9.36;{mu}g/ml)$ about 3,200 times, and lowering the temperature facilitated the solubilization of progesterone. However, the addition of HPCD and SBCD in 20:80 (v/v) polyethylene glycol 300-water and propylene glycol-water cosolvents markedly decreased the solubility of progesterone, compared with solubilizing effects in water. Physical mixtures and solid dispersions of progesterone with HPCD or SBCD were prepared, and evaluated by differential scanning calorimetry (DSC), Fourier-transform infrared spectroscopy (FT-IR), near IR spectroscopy and dissolution studies. By DSC and IR studies, it was found that progesterone was dispersed in HPCD in monotectic state and dissolved rapidly from both solid dispersions. Based on solubility studies, new aqueous progesterone fonnulations (5 mg/ml) containing SBCD (200 mg/ml) could be prepared and did not form precipitates even after 2 months at $4^{circ}C$. The solution was transparent when mixed with normal saline and 5% dextrose injection at 1: 1, 1:10 and 1:20 (v/v) even after 7 days. Permeation rates of progesterone through a cellulose membrane from 20% PEG 300 solution $(50;{mu}g/ml)$ containing HPCD or SBCD were compared with oily formulation. Permeation of progesterone from oily formulation did not occur up to 8 hr, but aqueous formulations showed fast permeation rates from early stage of permeation study. The addition of HPCD or SBCD retarded the permeation rates of progesterone with the increase of CD concentrations, suggesting the possibility of a controlled absorption from the site administered intramuscularly. These results demonstrate that it is feasible to develop a new progesterone parenteral aqueous injection (5 mg/ml) using SBCD.