This study examined the effect of progesterone (P4) supplementation from Days 16 to 18 post-AI on interferon-stimulated gene (ISG) expression on Day 19 in high-producing dairy cows. Gene expression levels were measured in peripheral blood mononuclear cells. Possible relationships between ISG expression and the incidence of pregnancy failure were also investigated. Cows were alternately assigned on Day 16 post-AI to a control (C: n = 13) or treatment group (P4: n = 14). Out of 27 cows, 12 returned to oestrus before pregnancy diagnosis and 9 were diagnosed as pregnant on Day 28. ISG expression was assessed in all cows. Expression levels for the genes OAS1, ISG15, MX1 and MX2 were higher for pregnant than for non-pregnant cows (P = 0.04; P < 0.001; P = 0.02; P = 0.045; respectively). A significant (P = 0.01) interaction was observed between the treatment and positive pregnancy diagnosis groups on Day 28 post-AI for the probability of showing ISG expression. This interaction suggests that in cows not pregnant on Day 28, P4 supplementation may have lead to increased ISG15 mRNA expression on Day 19. Lower ISG15 expression was detected for cows returning to oestrus than for pregnant cows (P < 0.001). However, cows with a negative pregnancy diagnosis showed intermediate values, differences being non-significant when compared to cows returning to oestrus or pregnant cows. Our results suggest that P4 supplementation during the pre-implantation period promotes conceptus signalling.