Threatened miscarriage is defined as early vaginal bleeding before 12 weeks of gestational age and can occur in any pregnancy regardless of maternal age, race, comorbidities, lifestyle, or socioeconomic status, and about one‐quarter of threatened miscarriages proceed to complete miscarriage. To assess the relative effectiveness and safety of different progestogens in women with first threatened miscarriage, using a network meta‐analysis. A systematic search was conducted in PubMed, EMBASE, and Cochrane Library databases from inception to April 2023. Randomized controlled trials (RCTs) assessing the effectiveness or safety of placebo or different progestogens for the treatment of threatened miscarriage were eligible for inclusion, including dydrogesterone (oral), progesterone (oral, vaginal, rectal), and 17‐α‐hydroxyprogesterone (intramuscular). A Bayesian network meta‐analysis with Markov chain Monte‐Carlo simulation was performed in this study. A pairwise meta‐analysis was carried out by synthesizing studies that compared the same interventions using a fixed‐effects model. The primary outcome was the percentage of miscarriage (defined as delivery before 24 weeks of gestation) and preterm birth (defined as birth before 37 weeks of gestation), and the secondary outcomes were live birth rate, congenital abnormalities, neonatal outcomes (low birth weight <2500 g), and adverse events. The risk of bias was assessed by using the Cochrane Risk of Bias Tool. In total, 18 RCTs with six different interventions were included. Oral dydrogesterone can reduce the risk of miscarriage compared with both placebo (odds ratio [OR] 0.5, 95% confidence interval [CI] 0.32–0.76) and vaginal progesterone (OR 0.57, 95% CI 0.36–0.89) in women with first threatened miscarriage. In women with first threatened miscarriage, oral progesterone also reduced the risk of miscarriage compared with placebo (OR 0.61, 95% CI 0.39–0.93). However, from the available evidence, there was no statistically significant difference between progestogens and placebo in preterm birth, congenital abnormality, and live birth rate. Oral dydrogesterone was safe and better at reducing miscarriage than vaginal progesterone and placebo for women with first threatened miscarriage, and better at reducing miscarriage compared with placebo for women with threatened miscarriage.