Melatonin is the major secretory product synthesized and secreted by the pineal gland and shows both a wide distribution within phylogenetically distant organisms from bacteria to humans and a great functional versatility. In recent years, a considerable amount of experimental evidence has accumulated showing a relationship between the nervous, endocrine, and immune systems. The molecular basis of the communication between these systems is the use of a common chemical language. In this framework, currently melatonin is considered one of the members of the neuroendocrine–immunological network. A number of in vivo and in vitro studies have documented that melatonin plays a fundamental role in neuroimmunomodulation. Based on the information published, it is clear that the majority of the present data in the literature relate to lymphocytes; thus, they have been rather thoroughly investigated, and several reviews have been published related to the mechanisms of action and the effects of melatonin on lymphocytes. However, few studies concerning the effects of melatonin on cells belonging to the innate immunity have been reported. Innate immunity provides the early line of defense against microbes and consists of both cellular and biochemical mechanisms. In this review, we have focused on the role of melatonin in the innate immunity. More specifically, we summarize the effects and action mechanisms of melatonin in the different cells that belong to or participate in the innate immunity, such as monocytes–macrophages, dendritic cells, neutrophils, eosinophils, basophils, mast cells, and natural killer cells.