Antenatal vaginal progesterone (VP) reduces the risk of preterm birth (PTB) in women with shortened cervical length, and we hypothesize that it may also prevent PTB in women with HIV as their primary risk factor. We conducted a pilot feasibility study in Lusaka, Zambia to investigate uptake, adherence, and retention in preparation for a future efficacy trial. This was a double-masked, placebo-controlled, randomized trial of 200mg daily self-administered VP suppository or placebo. Pregnant women with HIV who were initiating or continuing antiretroviral therapy were eligible for participation. Potential participants underwent ultrasound to assess eligibility; we excluded those ≥24 gestational weeks, with non-viable, multiple gestation, or extrauterine pregnancies, with short cervix (<2.0cm), or with prior spontaneous PTB. Participants initiated study product between 20-24 weeks of gestation and continued to 37 weeks (or delivery, if sooner). The primary outcome was adherence (proportion achieving ≥80% study product use), assessed by dye stain assay of returned single-use vaginal applicators. Secondary outcomes with pre-defined feasibility targets were: uptake (≥50% eligible participants enrolled) and retention (≥90% ascertainment of delivery outcomes). We also evaluated preliminary efficacy by comparing the risk of spontaneous PTB <37 weeks between groups. From July 2017 to June 2018, 208 HIV-infected pregnant women were eligible for screening and 140 (uptake = 67%) were randomly allocated to VP (n = 70) or placebo (n = 70). Mean adherence was 94% (SD±9.4); 91% (n = 125/137) achieved overall adherence ≥80%. Delivery outcomes were ascertained from 134 (96%) participants. Spontaneous PTB occurred in 10 participants (15%) receiving placebo and 8 (12%) receiving progesterone (RR 0.82; 95%CI:0.34-1.97). Spontaneous PTB < 34 weeks occurred in 6 (9%) receiving placebo and 4 (6%) receiving progesterone (RR 0.67; 95%CI:0.20-2.67). In contrast to findings from vaginal microbicide studies in HIV-uninfected, non-pregnant women, our trial participants were highly adherent to daily self-administered vaginal progesterone. The study's a priori criteria for uptake, adherence, and retention were met, indicating that a phase III efficacy trial would be feasible.