The specific regulation of inflammatory processes by steroid hormones has been actively studied in recent years, especially by progesterone (P4) and progestins. The mechanisms of the anti-inflammatory and immunomodulatory P4 action are not fully clear. The anti-inflammatory effects of P4 can be defined as nonspecific, associated with the inhibition of NF-κB and COX, as well as the inhibition of prostaglandin synthesis, or as specific, associated with the regulation of T-cell activation, the regulation of the production of pro- and anti-inflammatory cytokines, and the phenomenon of immune tolerance. The specific anti-inflammatory effects of P4 and its derivatives (progestins) can also include the inhibition of proliferative signaling pathways and the antagonistic action against estrogen receptor beta-mediated signaling as a proinflammatory and mitogenic factor. The anti-inflammatory action of P4 is accomplished through the participation of progesterone receptor (PR) chaperones HSP90, as well as immunophilins FKBP51 and FKBP52, which are the validated targets of clinically approved immunosuppressive drugs. The immunomodulatory and anti-inflammatory effects of HSP90 inhibitors, tacrolimus and cyclosporine, are manifested, among other factors, due to their participation in the formation of an active ligand–receptor complex of P4 and their interaction with its constituent immunophilins. Pharmacological agents such as HSP90 inhibitors can restore the lost anti-inflammatory effect of glucocorticoids and P4 in chronic inflammatory and autoimmune diseases. By regulating the activity of FKBP51 and FKBP52, it is possible to increase or decrease hormonal signaling, as well as restore it during the development of hormone resistance. The combined action of immunophilin suppressors with steroid hormones may be a promising strategy in the treatment of chronic inflammatory and autoimmune diseases, including endometriosis, stress-related disorders, rheumatoid arthritis, and miscarriages. Presumably, the hormone receptor- and immunophilin-targeted drugs may act synergistically, allowing for a lower dose of each.