A woman’s social behaviour reportedly varies across the menstrual cycle. In this study, we estimated changes in sensitivity to social exclusion across the menstrual cycle and scrutinized the related role of progesterone. Forty-nine naturally cycling women played a virtual ball-tossing game (Cyberball) to manipulate social inclusion. All participants underwent inclusion and exclusion conditions during the late follicular and the luteal phase. We assessed salivary progesterone concentrations at each cycle phase. After each Cyberball session we measured positive/negative mood using the Multidimensional Mood State Questionnaire (MDMQ). Multilevel analyses indicated that women showed worse mood following exclusion as compared to inclusion conditions (p = 0.014). Notably, this exclusion effect was more pronounced during the luteal phase than the late follicular phase (p = 0.029). As expected, progesterone concentrations were higher during the luteal phase as compared to the late follicular phase, but interestingly, progesterone concentrations were negatively associated with exclusion effects. When accounting for mediation via progesterone, direct cycle-phase related differences in social exclusion effects even increased as compared to the model without mediator. These findings suggest that progesterone may function as buffer against negative feelings that result from being socially excluded. The relevance of these findings for Premenstrual Dysphoric Disorder (PMDD) are discussed, and we conclude that social exclusion may represent an important research domain criterion (RDoC) of relevance for PMDD, with progesterone pointing to new potential pharmacological targets.