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Chemotherapy‐induced peripheral neuropathy is a disabling condition induced by several frequently used chemotherapeutic drugs including the front‐line agent oxaliplatin (OXA). Symptoms are predominantly sensory with the development of neuropathic pain. Alternative dosing protocols and treatment discontinuation are the only available therapeutic strategies. The aim of our work was to evaluate the potential of a synthetic derivative of progesterone, 17α‐hydroxyprogesterone caproate (HPGC), in the prevention and treatment of OXA‐evoked painful neuropathy. We also evaluated glial activation at the dorsal root ganglia (DRG) and spinal cord levels as a possible target mechanism underlying HPGC actions. Male rats were injected with OXA and HPGC following a prophylactic (HPGCp) or therapeutic (HPGCt) scheme (starting either before or after chemotherapy). The development of hypersensitivity and allodynic pain and the expression of neuronal and glial activation markers were evaluated. When compared to control animals, those receiving OXA showed a significant decrease in paw mechanical and thermal thresholds, with the development of allodynia. Animals treated with HPGCp showed patterns of response similar to those detected in control animals, while those treated with HPGCt showed a suppression of both hypersensitivities after HPGC administration. We also observed a significant increase in the mRNA levels of activating transcription factor 3, the transcription factor (c‐fos), glial fibrillary acidic protein, ionized calcium binding adaptor protein 1, interleukin 1 beta (IL‐1β) and tumor necrosis factor alpha (TNFα) in DRG and spinal cord of OXA‐injected animals, and significantly lower levels in rats receiving OXA and HPGC. These results show that HPGC administration reduces neuronal and glial activation markers and is able to both prevent and suppress OXA‐induced allodynia, suggesting a promising therapeutic strategy.