The study of growth and development of lambs (Ovis aries) is essential in sheep farming, and melatonin plays an important role in the physiology of growing lambs. The effects of an exogenous melatonin treatment on several physiological characteristics in fattening lambs at weaning were studied. Eight lambs were assigned to one of two groups; those that did (melatonin group, n = 4) or did not (no-melatonin group, n = 4) receive two subcutaneous melatonin implants at weaning. At the end of the fattening period, to quantify locomotor activity (LA), each lamb was fitted with a triaxial accelerometer, for 7 days. Simultaneously, lambs received a surgically implanted subcutaneous temperature (T) and heart rate (HR) biologger, which was programmed to record data every 5 min. HR variability (HRV) variables (SDNN, the standard deviation of normal-to-normal R-R intervals, and RMSSD, the root mean square of consecutive deviations between normal heartbeats) were measured. All of the variables exhibited 24-h circadian rhythms. Time of day (daytime vs. nighttime) had a significant effect on LA, T, and HR, but considering both treatment with melatonin and time, differences between time for these variables were only observed in melatonin-treated lambs. Exogenous melatonin did not affect LA or T, but melatonin-treated lambs had lower HR, SDNN, and RMSSD than did non-treated lambs. In conclusion, the use of subcutaneous biologgers and triaxial accelerometers in growing lambs demonstrated circadian rhythms in LA, T, HR, and HRV, and melatonin treatment negatively affected HRV, but its effects on the other physiological variables differed between day and night.