The aim of this contribution was to evaluate the impact of processing methods and polymeric carriers on the physicochemical properties of solid dispersions of the poorly soluble drug progesterone (PG). Five polymers: hydroxypropyl methylcellulose (HPMC), hydroxypropyl methylcellulose acetate succinate (HPMCAS), microcrystalline cellulose (MCC), polyvinylpyrrolidone (PVP) and silica (SiO2), and two processing methods: solvent evaporation (SE) and mechano-chemical activation by co-milling (BM) were applied. H-bonding was demonstrated by FTIR spectra as clear shifting of drug peaks at 1707 cm−1 (C20 carbonyl) and 1668 cm−1 (C3 carbonyl). Additionally, spectroscopic and thermal analysis revealed the presence of unstable PG II polymorphic form and a second heating DSC cycle, the presence of another polymorph possibly assigned to form III, but their influence on drug solubility was not apparent. Except for PG–MCC, solid dispersions improved drug solubility compared to physical mixtures. For SE dispersions, an inverse relationship was found between drug water solubility and drug–polymer Hansen solubility parameter difference (Δδt), whereas for BM dispersions, the solubility was influenced by both the intermolecular interactions and the polymer Tg. Solubility improvement with SE was demonstrated for all except PG–MCC dispersions, whereas improvement with BM was demonstrated by the PG–HPMC, PG–PVP and PG–HPMCAS dispersions, the last showing impressive increase from 34.21 to 82.13 μg/mL. The extensive H-bonding between PG and HPMCAS was proved by FTIR analysis of the dispersion in the liquid state. In conclusion, although SE improved drug solubility, BM gave more than twice greater improvement. This indicates that directly operating intermolecular forces are more efficient than the solvent mediated.