Progesterone is known to have anxiolytic effects due to the action of its metabolite allopregnanolone (and pregnanolone) which is a GABA agonist.
Prog Neurobiol. 2014 Feb;113:79-87"
certain 3α-reduced metabolites of progesterone such as 3α,5α-tetrahydroprogesterone (allopregnanolone) and 3α,5β-tetrahydroprogesterone (pregnanolone) are potent positive allosteric modulators of the GABA(A) receptor complex."
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Reduced levels of allopregnanolone in the peripheral blood or cerebrospinal fluid were found to be associated with major depression, anxiety disorders, premenstrual dysphoric disorder, negative symptoms in schizophrenia, or impulsive aggression. The importance of allopregnanolone for the regulation of emotion and its therapeutical use in depression and anxiety may not only involve GABAergic mechanisms, but probably also includes enhancement of neurogenesis, myelination, neuroprotection, and regulatory effects on HPA axis function."
J Neuroendocrinol. 1995 Mar;7(3):171-7."
Previous studies from this laboratory have shown that progesterone (PROG) treatment in ovariectomized rats produces an anti-anxiety response similar to that observed after the administration of prototypical anxiolytic benzodiazepine (BDZ) compounds. The PROG-induced anxiolytic response was highly correlated with an increased level of 3 alpha-hydroxy-5 alpha-pregnan-20-one (allopregnanolone) in the blood and brain, and was also associated with a facilitation of GABA-stimulated chloride ion (Cl-) influx in cortical synaptoneurosomes. This correlative evidence suggested that the anxiolytic effect of PROG was a result of its in vivo reduction to the neuroactive steroid, allopregnanolone."
Neuroendocrinology 1993;58:478–484 "Progesterone is readily reduced in humans to its A-ring metabolites, allopregnanolone (3α-hydroxy-5α-pregnan-20-one) and pregnanolone (3α-hydroxy-5β-pregnan-20-one). The latter have been reported to have anxiolytic, hypnotic and anesthetic actions when administered to laboratory animals and (or) humans."
I can personally vouch for its efficacy.