Oxygen is essential for crustaceans, and hypoxia will have a negative impact on the growth and development of crustaceans. The aim of this study was to evaluate the protective effects of melatonin (MT) on hemolymph immune parameters (Hemocyanin, Total haemocytes count (THC), Phenoloxidase (PO)), Antioxidant capacity, heat shock proteins (Hsp), mitochondrial number, cytochrome C (CytC) and Na⁺-K⁺ ATPase activities of Eriocheir sinensis under the hypoxia conditions (DO = 0.5 mg/L). The results showed that hypoxia stress significantly increased the hemocyanin content and PO activity (p < 0.05), and significantly reduced THC (p < 0.05). Contrary to the above results, the hemocyanin content and PO activity of E. sinensis fed with MT were significantly decreased under hypoxia (p < 0.05), but MT did not change the THC. Hypoxia significantly decreased the activity of Superoxide dismutase (SOD) and the relative expression of Hsp70,90 in E. sinensis, and significantly increased the content of Malondialdehyde (MDA), but MT did not significantly affect the above parameters. After feeding MT diet, the number of mitochondria in haemocytes of E. sinensis decreased significantly both in control and hypoxia group (p < 0.05). However, hypoxia stress did not change the number of mitochondria. Moreover, hypoxia stress significantly increased the activities of Cytochrome C enzyme-linked (CytC) and Na⁺ − K⁺ ATPase (p < 0.05). No obvious changes of Cyt-C and Na⁺-K⁺ ATPase were observed in MT hypoxia group compared with the hypoxia group. This study shows that hypoxia stress can cause immune damage of haemocytes of E. sinensis, reduce its antioxidant capacity, and cause changes to mitochondrial function of haemocytes. Feeding MT diet can improve the anti-hypoxia ability and protect the immune system on haemocytes of E. sinensis to a certain extent.