Melatonin (N-acetyl-5-methoxytryptamine) is a pleiotropic signaling molecule that plays a crucial role in the regulation of various environmental stresses, including heat stress (HS). In this study, a 100 μM melatonin (MT) pretreatment followed by exposure to heat stress for different time periods was found to efficiently reduce oxidative stress by preventing the over-accumulation of hydrogen peroxide (H2O2), lowering the lipid peroxidation content (malondialdehyde (MDA) content), and increasing proline (Pro) biosynthesis. Moreover, the activities of antioxidant enzymes, such as superoxide dismutase (SOD), catalase (CAT), and peroxidase (POD), were increased substantially in MT-pretreated wheat seedlings. The presence of MT significantly improved the heat tolerance of wheat seedlings by modulating their antioxidant defense system, activating the ascorbate–glutathione (AsA–GSH) cycle comprising ascorbate peroxidase (APX), and increasing glutathione reductase (GR) activities. It also held the photosynthetic machinery stable by increasing the chlorophyll content. Enhancement in the endogenous MT contents was also observed in the MT+HS-treated plants. Furthermore, the expression of reactive oxygen species (ROS)-related genes TaSOD, TaPOD, and TaCAT, and anti-stress responsive genes, such as TaMYB80, TaWRKY26, and TaWRKY39, was also induced in MT-treated seedlings. Due to these notable changes, an improvement in stress resistance was observed in MT-treated seedlings compared with control. Taken together, our findings suggest that MT can play a key role in boosting the stress tolerance of plants by modulating the antioxidant defense system and regulating the transcription of stress-responsive genes.