What would happen if a male supplemented with progesterone?
Medroxyprogesterone has been given to men in very high doses as a form of contraception and also for chemical castration. Even so, there was almost no reported incidence of gynecomastia. What would happen is severe suppression of natural testosterone and spermatogenesis. Adrenal suppression is also a concern depending on which progestin is utilized.
Of course if you aren't deficient, read Seth's post for things that could happen. If you are looking to use it as an anabolic, the risks heavily outway the benefits (if there are any).