In diurnal and nocturnal organisms, daily activity is regulated by the perception of environmental stimuli and circadian rhythms, which enable organisms to maintain their essential behaviors. The Japanese sand lances genus Ammodytes are coastal marine fish that exhibit unique nocturnal sand burrowing behavior. To elucidate the extrinsic and intrinsic regulation of this behavior and its endocrinological basis, we conducted a series of rearing experiments under various light conditions and hormone administrations. Under a light-dark photoperiod, the fish showed three types of behavior: sand buried, head-exposed from sand, and swimming/feeding. During the transition from dark to light periods, the fish first showed head exposure, followed by swimming and foraging, and buried themselves in the sand immediately after shifting to the dark period. Under constant light conditions, fish exhibited swimming behavior during the period corresponding to the acclimated light period. In addition, swimming did not occur under constant dark conditions but head exposure was observed at the time of the dark-light transition during acclimation. These observations indicate that the essential behavior of sand lances is regulated by both light and circadian rhythms. Subsequently, a melatonin-containing diet promoted the onset of burrowing in 10 to 120 min in a dose-dependent manner at 0.3–128 µg/g-diet, suggesting the direct behavioral regulation by this hormone. These findings suggest that the behavior of sand lances is strictly regulated by an intrinsic mechanism and that melatonin is a regulatory endocrine factor that induces burrowing behavior.