Progesterone receptor (PR) expression is used as a biomarker of oestrogen receptor-α (ERα) function and breast cancer prognosis. Here we show that PR is not merely an ERα-induced gene target, but is also an ERα-associated protein that modulates its behaviour. In the presence of agonist ligands, PR associates with ERα to direct ERα chromatin binding events within breast cancer cells, resulting in a unique gene expression programme that is associated with good clinical outcome. Progesterone inhibited oestrogen-mediated growth of ERα⁺ cell line xenografts and primary ERα⁺ breast tumour explants, and had increased anti-proliferative effects when coupled with an ERα antagonist. Copy number loss of PGR, the gene coding for PR, is a common feature in ERα⁺ breast cancers, explaining lower PR levels in a subset of cases. Our findings indicate that PR functions as a molecular rheostat to control ERα chromatin binding and transcriptional activity, which has important implications for prognosis and therapeutic interventions.