Bioactive compounds and drugs are encapsulated using different techniques and sometimes take quite a while, which can generate yield losses. For that reason, new technologies that allow the quick, efficient, and economical encapsulation of compounds are being highly investigated. In this work and using kneading, we have compared the encapsulation of progesterone, a lipophilic hormone used in hormone replacement therapy, with β-CD and Nanosponges (specifically, βNS-CDI 1:4 and 1:8). Different molar ratios of β-CD and progesterone were tested, obtaining evidence through FTIR, TGA, DSC and encapsulation efficiency, that even with a 1:1 ratio all the drug is encapsulated. These data helped to understand that, once again, all the drug was encapsulated within the nanosponges. Dialysis studies (cut-off 1 KDa) showed that the complexes obtained a faster and more gradual release profile than the free drug, with slight differences between them. The action of the complexes against the MCF-7 cell line in comparison to the physical mixture demonstrates an evident influence of the correct complexation on its effectiveness. This work shows the need for proper optimization of the process depending on the drug and opens the door to new medical formulations of progesterone, supporting the ball-milling kneading as an exciting way of making complexes.