Melatonin acts as a multifunctional molecule that takes part in various physiological processes, especially in the protection against abiotic stresses, such as salinity, drought, heat, cold, heavy metals, etc. These stresses typically elicit reactive oxygen species (ROS) accumulation. Excessive ROS induce oxidative stress and decrease crop growth and productivity. Significant advances in melatonin initiate a complex antioxidant system that modulates ROS homeostasis in plants. Numerous evidences further reveal that melatonin often cooperates with other signaling molecules, such as ROS, nitric oxide (NO), and hydrogen sulfide (H2S). The interaction among melatonin, NO, H2S, and ROS orchestrates the responses to abiotic stresses via signaling networks, thus conferring the plant tolerance. In this review, we summarize the roles of melatonin in establishing redox homeostasis through the antioxidant system and the current progress of complex interactions among melatonin, NO, H2S, and ROS in higher plant responses to abiotic stresses. We further highlight the vital role of respiratory burst oxidase homologs (RBOHs) during these processes. The complicated integration that occurs between ROS and melatonin in plants is also discussed.