The physiological crosstalk between glucocorticoid and melatonin maintains neuronal homeostasis in regulating circadian rhythms. However, the stress-inducing level of glucocorticoid triggers mitochondrial dysfunction including defective mitophagy by increasing the activity of glucocorticoid receptors (GRs), leading to neuronal cell death. Melatonin then suppresses glucocorticoid-induced stress-responsive neurodegeneration; however, the regulatory mechanism of melatonin, i.e., associated proteins involved in GR activity, has not been elucidated. Therefore, we investigated how melatonin regulates chaperone proteins related to GR trafficking into the nucleus to suppress glucocorticoid action. In this study, the effects of glucocorticoid on suppressing NIX-mediated mitophagy, followed by mitochondrial dysfunction, neuronal cell apoptosis, and cognitive deficits were reversed by melatonin treatment by inhibiting the nuclear translocation of GRs in both SH-SY5Y cells and mouse hippocampal tissue. Moreover, melatonin selectively suppressed the expression of FKBP prolyl isomerase 4 (FKBP4), which is a co-chaperone protein that works with dynein, to reduce the nuclear translocation of GRs among the chaperone proteins and nuclear trafficking proteins. In both cells and hippocampal tissue, melatonin upregulated melatonin receptor 1 (MT1) bound to Gαq, which triggered the phosphorylation of ERK1. The activated ERK then enhanced DNA methyltransferase 1 (DNMT1)-mediated hypermethylation of FKBP52 promoter, reducing GR-mediated mitochondrial dysfunction and cell apoptosis, the effects of which were reversed by knocking down DNMT1. Taken together, melatonin has a protective effect against glucocorticoid-induced defective mitophagy and neurodegeneration by enhancing DNMT1-mediated FKBP4 downregulation that reduced the nuclear translocation of GRs.