Cryoprotectants are often required in lyophilization to reduce or eliminate agglomeration of solute or suspended materials. The aim of this study was to select a cryoprotecting agent and optimize its concentration in a solid lipid nanoparticle formulation. Progesterone-loaded stearic acid solid lipid nanoparticles (SA-P SLNs) were prepared by hot homogenization with high speed mixing and sonication. The stearic acid content was 4.6% w/w and progesterone was 0.46% w/w of the initial formulation. Multiple surfactants were evaluated, and a lecithin and sodium taurocholate system was chosen. Three concentrations of surfactant were then evaluated, and a concentration of 2% w/w was chosen based on particle size, polydispersity, and zeta potential. Agglomeration of SA-P SLNs after lyophilization was observed as measured by increased particle size. Dextran, glycine, mannitol, polyvinylpyrrolidone (PVP), sorbitol, and trehalose were evaluated as cryoprotectants by both an initial freeze–thaw analysis and after lyophilization. Once selected as the cryoprotectant, trehalose was evaluated at 5%, 10%, 15%, and 20% for optimal concentration, with 20% trehalose being finally selected as the level of choice. Evaluation by DSC confirmed intimate interaction between stearic acid and progesterone in the SA-P SLNs, and polarized light microscopy shows successful lyophilization of the trehalose/SA-P SLN. A short term 28-day stability study suggests the need for refrigeration of the final lyophilized SA-P SLNs in moisture vapor impermeable packaging.