Generating explanation to explain its behavior is an essential capability for a robotic teammate. Explanations help human partners better understand the situation and maintain trust of their teammates. Prior work on robot generating explanations focuses on providing the reasoning behind its decision making. These approaches, however, fail to heed the cognitive requirement of understanding an explanation. In other words, while they provide the right explanations from the explainer's perspective, the explainee part of the equation is ignored. In this work, we address an important aspect along this direction that contributes to a better understanding of a given explanation, which we refer to as the progressiveness of explanations. A progressive explanation improves understanding by limiting the cognitive effort required at each step of making the explanation. As a result, such explanations are expected to be smoother and hence easier to understand. A general formulation of progressive explanation is presented. Algorithms are provided based on several alternative quantifications of cognitive effort as an explanation is being made, which are evaluated in a standard planning competition domain.