Drought is one of the most common abiotic stressors in plants. Melatonin (MT) is a high-efficiency and low-toxicity growth regulator that plays an important role in plant responses to drought stress. As a wild relative of wheat, Agropyron mongolicum has become an important species for the improvement of degraded grasslands and the replanting of sandy grasslands. However, the physiological and molecular mechanisms by which exogenous MT regulates drought stress in A. mongolicum remain unclear. To assess the effectiveness of MT intervention (100 mg·L-1), polyethylene glycol 6000 was used to simulate drought stress, and its ameliorating effects on drought stress in A. mongolicum seedlings were investigated through physiology, transcriptomics, and metabolomics. Physiological analysis indicated that MT treatment increased the relative water content and chlorophyll content and decreased the relative conductivity of A. mongolicum seedlings. Additionally, MT decreased malondialdehyde (MDA) and reactive oxygen species (ROS) accumulation by enhancing antioxidant enzyme activities. The transcriptome and metabolite profiling analysis of A. mongolicum seedlings treated with and without MT under drought stress identified the presence of 13,466 differentially expressed genes (DEGs) and 271 differentially expressed metabolites (DEMs). The integrated analysis of transcriptomics and metabolomics showed that DEGs and DEMs participated in diverse biological processes, such as flavonoid biosynthesis and carbohydrate metabolism. Moreover, MT may be involved in regulating the correlation of DEGs and DEMs in flavonoid biosynthesis and carbohydrate metabolism during drought stress. In summary, this study revealed the physiological and molecular regulatory mechanisms of exogenous MT in alleviating drought stress in A. mongolicum seedlings, and it provides a reference for the development and utilization of MT and the genetic improvement of drought tolerance in plants from arid habitats.