Menopausal signs and symptoms challenge the patient’s quality of life. Fortunately, menopausal hormone therapy (MHT) has been proved to be the most effective strategy, with oestrogen as the gold standard treatment. Addition of progesterone is mandatory in women with an intact uterus to protect the endometrium from hyperplasia that predisposes to uterine cancer. Newly synthetic progestins used in MHT differ in some pharmacological properties, and fewer data analyze profoundly its potential risks, which can influence decision-making process in menopause consultations. This literature review explores the differences between the preclinical and clinical profiles of progestins, particularly investigating its association with breast cancer risk. We focused on analyzing the most common prescriptions such as; Medroxyprogesterone acetate, Nomegestrol Acetate, Norethisterone, Drospirenone, Norgestimate, Levonorgestrel, and Desogestrel. Evidence suggests there is a greater breast cancer risk for synthetic progestins than natural progesterone, with differences among each type as well. Larger, long-term studies are needed to strengthen this outcome and provide evidenced-based clinical guidance.