Melatonin-mediated osmotic tolerance was attributed to increased antioxidant capacity, energy metabolism, osmoregulation and autophagy in wheat (Triticum aestivum L.). Melatonin is known to play multiple roles in plant abiotic stress tolerance. However, its role in wheat has been rarely investigated. In this study, 25% polyethylene glycol 6000 (PEG 6000) was used to simulate osmotic stress, and wheat seeds and seedlings were treated with different concentrations of melatonin under PEG stress. Isobaric tag for relative and absolute quantification (iTRAQ)-based proteomic techniques were used to identify the differentially accumulated proteins from melatonin-treated and non-treated seedlings. Seeding priming with melatonin significantly increased the germination rate, coleoptile length, and primary root number of wheat under PEG stress, as well as the fresh weight, dry weight, and water content of wheat seedlings. Under PEG stress, melatonin significantly improved reactive oxygen species homeostasis, as revealed by lower HO and O content; and the expression of antioxidant enzymes at the transcription and translation levels was increased. Melatonin maintained seedling growth by improving photosynthetic rates and instantaneous and intrinsic water use efficiencies, as well as carbon fixation and starch synthesis at the protein level. Melatonin treatment significantly affected the expression of glycolytic proteins, including fructose-1,6-bisphosphate aldolase, hexokinase, glyceraldehyde-3-phosphate dehydrogenase, and enolase, and remarkably increased the expression of the nicotinamide adenine dinucleotide transporter and nicotinamide adenine dinucleotide binding protein, thereby indirectly modulating electron transport in the respiratory chain. This indicated that melatonin improved energy production in PEG-stressed seedlings. Further, melatonin played a regulatory role in autophagy, protease expression, and ubiquitin-mediated protein degradation by significantly upregulating rab-related protein, fused signal recognition particle receptor, aspartyl protease, serine protease, ubiquitin-fold modifier 1, and ubiquitin at the mRNA or protein level. These findings suggested that melatonin might activate a metabolic cascade related to autophagy under PEG stress in wheat seedlings.