Let $\mathcal{G}(d,n)$ be the Grassmannian manifold of $n$-dimensional subspaces of $\mathbb{R}^{d}$, and let $π_{V} \colon \mathbb{R}^{d} \to V$ be the orthogonal projection. We prove that if $μ$ is a compactly supported Radon measure on $\mathbb{R}^{d}$ satisfying the $s$-dimensional Frostman condition $μ(B(x,r)) \leq Cr^{s}$ for all $x \in \mathbb{R}^{d}$ and $r > 0$, then $$\int_{\mathcal{G}(d,n)} \|π_{V}μ\|_{L^{p}(V)}^{p} \, dγ_{d,n}(V) < \infty, \qquad 1 \leq p < \frac{2d - n - s}{d - s}.$$ The upper bound for $p$ is sharp, at least, for $d - 1 \leq s \leq d$, and every $0 < n < d$. Our motivation for this question comes from finding improved lower bounds on the Hausdorff dimension of $(s,t)$-Furstenberg sets. For $0 \leq s \leq 1$ and $0 \leq t \leq 2$, a set $K \subset \mathbb{R}^{2}$ is called an $(s,t)$-Furstenberg set if there exists a $t$-dimensional family $\mathcal{L}$ of affine lines in $\mathbb{R}^{2}$ such that $\dim_{\mathrm{H}} (K \cap \ell) \geq s$ for all $\ell \in \mathcal{L}$. As a consequence of our projection theorem in $\mathbb{R}^{2}$, we show that every $(s,t)$-Furstenberg set $K \subset \mathbb{R}^{2}$ with $1 < t \leq 2$ satisfies $$\dim_{\mathrm{H}} K \geq 2s + (1 - s)(t - 1).$$ This improves on previous bounds for pairs $(s,t)$ with $s > \tfrac{1}{2}$ and $t \geq 1 + ε$ for a small absolute constant $ε> 0$. We also prove a higher dimensional analogue of this estimate for codimension-1 Furstenberg sets in $\mathbb{R}^{d}$. As another corollary of our method, we obtain a $δ$-discretised sum-product estimate for $(δ,s)$-sets. Our bound improves on a previous estimate of Chen for every $\tfrac{1}{2} < s < 1$, and also of Guth-Katz-Zahl for $s \geq 0.5151$.