The phenomenon of pregnancy can be compromised by a number of complications, such as threatened abortion, recurrent spontaneous miscarriage, preeclampsia, and preterm delivery. Research conducted during the last decade has opened up the possibility that cellular immune effectors may underlie such pregnancy complications. Particularly interesting are the effects of pro-inflammatory and anti-inflammatory cytokines on the conceptus and thus on the success or failure of pregnancy. This review focuses on the association between cytokines and the different complications of pregnancy as well as on the possible pathways of the effector function of cytokines in pregnancy loss. This review also goes on to discuss the redirection of the cytokine profile towards one that is more conducive to pregnancy. Among the most promising agents for the modulation of the Th1/Th2 balance are progestogens such as progesterone and dydrogesterone. Recently published studies lead us to propose that a therapeutic approach worth pursuing would be to assess the individual cytokine profiles of women with pregnancy complications and then to adjust individual therapy using the most effective progestogen.