For a prime $p$ we construct a subset of $\mathbb{F}_p^{(k^2-k)/2}$ of size $p^{(k^2-k)/2-1}$ that does not contain progressions of length $k$. More generally, we show that for any prime power $q$ there is a subset of $\mathbb{F}_q^{(k^2-k)/2}$ of size $q^{(k^2-k)/2-1}$ that does not contain $k$ points on a line. This yields the first asympotic lower bounds $c^n$ for the size of $p$-progression-free sets in $\mathbb{F}_p^{n}$ with $c=p-o(1)$, as $p$ tends to infinity.
