Melatonin is an indoleamine with broad spectrum properties that acts as a regulator of antioxidant and immune response in organisms. In our previous studies, melatonin improved redox status and inflammatory response in pregnant ewes under heat stress conditions. In the present study, using proteomics, the proteins regulated by melatonin during different stages of pregnancy and lambing were assessed. Twenty-two ewes equally divided into two groups, the melatonin (M) (n = 11) and control (C) group (n = 11), participated in the study and were exposed to heat stress during the first months of pregnancy. In the M group, melatonin implants were administered throughout pregnancy, every 40 days, until parturition (a total of four implants per ewe). Blood samples were collected at the beginning of the study simultaneously with the administration of the first melatonin implant (blood samples M1, C1), mating (M2, C2), second implant (M3, C3), fourth implant (M4, C4) and parturition (M5, C5), and MALDI-TOF analysis was performed. The results revealed the existence of 42 extra proteins in samples M2, M3 and M4 and 53 in M5 (sample at parturition) that are linked to melatonin. The biological processes of these proteins refer to boosted immune response, the alleviation of oxidative and endoplasmic reticulum stress, energy metabolism, the protection of the maternal organism and embryo development. This proteomics analysis indicates that melatonin regulates protective mechanisms and controls cell proliferation under exogenous or endogenous stressful stimuli during pregnancy and parturition.