This paper studies the situation when two 4-dimensional Lorentz manifolds (that is, space-times) admit the same (unparametrised) geodesics, that is, when they are projectively related. A review of some known results is given and then the problem is considered further by treating each holonomy type in turn for the space-time connection. It transpires that all holonomy possibilities can be dealt with completely except the most general one and that the consequences of two space-times being projectively related leads, in many cases, to their associated Levi-Civita connections being identical.