For a topological group $G$ we define $\cal N$ to be the set of all normal subgroups modulo which $G$ is a finite-dimensional Lie group. Call $G$ a pro-Lie group if, firstly, $G$ is complete, secondly, $\cal N$ is a filter basis, and thirdly, every identity neighborhood of $G$ contains some member of $\cal N$. It is easy to see that every pro-Lie group $G$ is a projective limit of the projective system of all quotients of $G$ modulo subgroups from $\cal N$. The converse implication emerges as a difficult proposition, but it is shown here that any projective limit of finite-dimensional Lie groups is a pro-Lie group. It is also shown that a closed subgroup of a pro-Lie group is a pro-Lie group, and that for any closed normal subgroup $N$ of a pro-Lie group $G$, for any one parameter subgroup $Y \colon \mathbb{R} \to G/N$ there is a one parameter subgroup $X \colon \mathbb{R}\to G$ such that $X(t) N = Y(t)$ for any real number $t$. The category of all pro-Lie groups and continuous group homomorphisms between them is closed under the formation of all limits in the category of topological groups and the Lie algebra functor on the category of pro-Lie groups preserves all limits and quotients.