One of the pathological hallmarks of Alzheimer’s disease (AD) associated with its progression that contributes to β-amyloid (Aβ) generation is oxidative stress (OS). Clinical data suggest that melatonin is a potent antioxidant that might be effective in the adjunctive therapy of this neurodegenerative disease. The present study aimed to explore the role of melatonin on behavioral changes and markers of OS in three rat models, namely, pinealectomy (pin) model of melatonin deficit, intracerebroventricular (icv)Aβ_1-42 model of AD, and combination of both pin and Aβ_1-42 model (pin+icvAβ_1-42). The chronic injection with vehicle/melatonin (50 mg/kg, i.p. for 40 days) started on the same day of sham/pin and icv vehicle/Aβ_1-42 infusion procedures. Anxiety in the open field and the elevated plus-maze test and cognitive responses in the object recognition test were tested between the 30th–35th day after the surgical procedures. Markers of OS in the frontal cortex (FC) and hippocampus were detected by the ELISA method. Melatonin treatment corrected the exacerbated anxiety response only in the pin+icvAβ_1-42 model while it alleviated the cognitive impairment in the three models. Pinealectomy disturbed the antioxidant system via enhanced SOD activity and decreased GSH levels both in the FC and hippocampus. The Aβ_1-42 model decreased the SOD activity in the FC and elevated the MDA level in the two brain structures. The pin+icvAβ_1-42 model impaired the antioxidant system and elevated lipid peroxidation. Melatonin supplementation restored only the elevated MDA level of icvAβ_1-42 and pin+icvAβ_1-42 model in the hippocampus. In conclusion, our study reveals that the pin+icvAβ_1-42 rat model triggers more pronounced anxiety and alterations in markers of OS that may be associated with melatonin deficit concomitant to icvAβ_1-42-induced AD pathology.