Progesterone is an important sex steroid that plays a vital role during ovarian development in crustaceans. In vertebrates, progesterone mediates reproduction via the progesterone receptor (PR). Previous studies have shown that PR is present in the ovary, hepatopancreas, and nerve tissues of some crustacean species. The Chinese mitten crab, Eriocheir sinensis, is an important aquaculture species in China and has become an invasive species in Europe and North America. A better understanding of the relevant reproductive mechanisms could potentially benefit artificial propagation and production of E. sinensis. Our intention was to immunorecognize and immunolocalize PR in the ovary, hepatopancreas, optic ganglion, brain ganglion, and thoracic ganglion of female E. sinensis using Western blot and immunohistochemistry. Changes in the distribution of PR were also investigated in these tissues during ovarian development. With an apparent molecular weight of 70 kDa, PR was identified in the optic, brain, and thoracic ganglion of female E. sinensis. During ovarian development, follicle cells were stained with positive PR at each ovarian stage. In germinal cells, positive PR was found in the cytoplasm only during the early ovarian development stages (I–III), whereas positive PR stained in the nucleus of germinal cells from stage III—stage V. In the hepatopancreas, PR was localized in the nucleus of resorptive cells as well as in the cytoplasm and nucleus of fibrillar cells for all stages of ovarian development. On the contrary, no PR-like substance was found in the other types of hepatopancreatic cells, such as blisterlike cells and embryonic cells, during ovarian development. However, a PR-like substance was detected in the nerve tissues of female E. sinensis. In the optic ganglion, PR was localized in the nucleus only of nerve cells. In the thoracic ganglion, PR was detected in the cytoplasm and nuclei of nerve cells during all ovarian development stages, with stronger detection during late ovarian development (stages III–V) rather than early (stages I and II). In addition, PR was localized in the brain ganglion, which is supported by evidence that the nuclei of nerve cells stained positively for PR antibody during all ovarian development stages. We suggest that progesterone not only regulates vitellogenesis and ovarian development directly by binding PR in the ovary and hepatopancreas, but also modulates indirectly ovarian development through nerve tissue.