Sorghum faces significant production challenges due to drought stress. Melatonin has been demonstrated to play a crucial role in coping with stresses in plants. This study investigated the effect of exogenous melatonin on the sorghum seedling growth, photosynthetic capacity, and antioxidant system under drought stress. The results indicated that drought stress inhibited the growth of sorghum seedlings by a marked reduction in leaf relative water content, along with a significant increase in both malondialdehyde and hydrogen peroxide content. The drought stress also led to a significant diminution in chlorophyll contents, thereby curtailing the capacity for light energy capture. Furthermore, the efficiency of the photosynthetic electron transport chain was adversely impacted. However, the application of exogenous melatonin notably mitigated the adverse effects on sorghum seedlings under the drought stress. Additionally, it stimulated an elevation in the photosynthetic rate and a decrease in non-photochemical quenching. The exogenous melatonin also facilitated the preservation of the chloroplast ultra-structure and boosted the activity of antioxidant enzymes and the content of non-enzymatic antioxidants. Cluster heat maps and principal component analysis further revealed significant correlations among various parameters under different treatment conditions. These results highlight melatonin's role in improving sorghum's drought tolerance, which is beneficial for agricultural management.