This randomized, double-blinded, placebo-controlled trial tested the hypothesis that 20mg of melatonin before and during the first cycle of adjuvant chemotherapy for breast cancer (ACBC) reduced the side effects associated with cognitive impairment. We evaluated the effects of melatonin on cognition, depressive symptoms and sleep quality, and whether these effects were related to serum levels of Brain Derived Neurotrophic Factor (BDNF) and its receptor, tropomyosin kinase B (TrkB). Thirty-six women were randomly assigned to receive melatonin or placebo for 10 days. To evaluate cognitive performance, we used the Trail-Making-Test Parts A and B (A-B), Rey Auditory-Verbal Learning Test (RAVLT), Controlled Oral Word Association Test (COWAT) and an inhibitory task type Go / No-Go. Our results revealed that melatonin improved executive function on TMT scores, enhanced episodic memory (immediate and delayed) and recognition on RAVLT, and increased verbal fluency in the orthographic COWAT. The TMT-A-B(A-B) were negatively correlated with baseline levels of TrkB and BDNF, respectively. At the end of treatment, changes in TrkB and BDNF were inversely associated with depressive symptoms and sleep quality, but not with the TMT scores. These results suggest a neuroprotective effect of melatonin to counteract the adverse effects of ACBC on cognitive function, sleep quality and depressive symptoms.