(1) The vicious cycle of innate immune response and reactive oxygen species (ROS) generation is an important pathological process of osteoarthritis (OA). Melatonin may be a new hope for the treatment of OA because of its antioxidant capacity. However, the mechanism of melatonin in the treatment of OA is still not completely clear, and the physiological characteristics of articular cartilage make melatonin unable to play a long-term role in OA. (2) The effects of melatonin on ROS and the innate immune response system in OA chondrocytes and the therapeutic effect in vivo were evaluated. Then, a melatonin-loaded nano-delivery system (MT@PLGA-COLBP) was prepared and characterized. Finally, the behavior of MT@PLGA-COLPB in cartilage and the therapeutic effect in OA mice were evaluated. (3) Melatonin can inhibit the activation of the innate immune system by inhibiting the TLR2/4-MyD88-NFκB signal pathway and scavenging ROS, thus improving cartilage matrix metabolism and delaying the progression of OA in vivo. MT@PLGA-COLBP can reach the interior of cartilage and complete the accumulation in OA knee joints. At the same time, it can reduce the number of intra-articular injections and improve the utilization rate of melatonin in vivo. (4) This work provides a new idea for the treatment of osteoarthritis, updates the mechanism of melatonin in the treatment of osteoarthritis, and highlights the application prospect of PLGA@MT-COLBP nanoparticles in preventing OA.