Pregnancy is not nearly as successful as laypersons might assume, challenged as it is by several complications such as threatened abortion, spontaneous miscarriage, preeclampsia, and preterm delivery, among others. The maternal immune system has been shown to contribute to the etiopathogenesis of some of these pregnancy complications. Pro-inflammatory and anti-inflammatory cytokines have been studied for their effects on pregnancy because of their powerful and versatile effects on cells and tissues. This review addresses the relationship between pro-inflammatory cytokines and recurrent miscarriage, which is an important complication of pregnancy. References for this review were identified by using PRISMA-IPD (Preferred Reporting Items for a Systematic Review and Meta-analysis of Individual Participant Data) Guidelines by conducting searches for published articles from January 1, 1990 until March 1, 2020 in the following databases: PubMed, Google Scholar, and MEDLINE via OVID by the use of the search terms “recurrent spontaneous miscarriage,” “cytokines,” “progesterone,” “progestogen,” “dydrogesterone,” and “immunomodulation.” This review also presents the proposed mechanisms of action of pro-inflammatory cytokines in pregnancy loss, and then goes on to discuss the modulation of cytokine profiles to a state that is favorable to the success of pregnancy. In addition to its indispensable endocrinologic role of progesterone in pregnancy, it also has some intriguing immunomodulatory capabilities. We then summarize studies that show that progesterone and dydrogesterone, an orally-administered progestogen, suppress the production of pro-inflammatory cytokines and enhance the production of anti-inflammatory cytokines before mentioning clinical studies on progestogen supplementation. These studies support the contention that progestogens should be explored for the immunotherapeutic management of pregnancy complications.