Hydrogels are crosslinked hydrophilic polymer networks that are capable of absorbing high levels of water without dissolving. Among naturally derived systems, alginate-based hydrogels are particularly attractive due to their biodegradability, non-toxicity, and mild gelation in the presence of calcium ions. In this study, we report the synthesis and thermal characterisation of sodium alginate hydrogels crosslinked with varying CaCl₂ concentrations and physically loaded with melatonin, a bioactive indoleamine with antioxidant and plant-growth regulating properties. The aim was to investigate the thermal behavior of the systems and analyze the effect of melatonin incorporation on the polymer matrix. A combination of Thermogravimetric Analysis (TGA), Differential Scanning Calorimetry (DSC), and Temperature-Modulated DSC (TMDSC) was used to assess water content, thermal transitions, and structural interactions. TGA indicated a gradual reduction in water retention with increasing CaCl₂ concentration, reflecting the formation of denser, more tightly crosslinked hydrogel networks. Following a seven-day swelling period in deionized water, the observed mass loss below 150 °C was attributed to the evaporation of both free and bound water. Differential Scanning Calorimetry (DSC) and Temperature-Modulated DSC (TMDSC) offered further insight into the structural integrity of the hydrogels and the interactions between melatonin and the polymer matrix. The presence of melatonin led to more distinct and slightly shifted endothermic peaks, potentially linked to the melting of crystalline melatonin or weak, non-covalent interactions with alginate chains. TMDSC enabled the separation of reversing and non-reversing events, highlighting possible reorganization of the matrix upon melatonin inclusion. This supports the hypothesis of partial structural rearrangement of the hydrogel network upon melatonin incorporation. In some cases, the typical melting peak of crystalline melatonin was absent or shifted, suggesting a degree of amorphous dispersion within the hydrogel network.