Hydrogen gas (H2) was recently suggested to perform multiple roles during plant response to abiotic stresses. However, physiological mechanisms and downstream targets remain elusive. Here, we showed that osmotic stress triggered by polyethylene glycol (PEG) could enhance hydrogenase-like activity and H2 production in alfalfa seedlings. After the administration of H2, the enhanced tolerance to PEG stress was confirmed, as evidence by the observation of the alleviation of root inhibition and the decrease in lipid peroxidation. H2 also rapidly elevated hydrogen peroxide (H2O2) levels, peaking at 5 h. When supplemented with exogenous H2O2, a heme oxygenase-1 (HO-1; a novel antioxidant enzyme) inducer hemin, and one of HO-1 catalytic products, carbon monoxide (CO), antioxidant enzymes and subsequent PEG tolerance were induced. The inhibition of NADPH oxidase and chemical scavenging of H2O2 could block H2-induced HO-1 expression and PEG tolerance. Simultaneously, a HO-1 inhibitor counteracted the effects of H2 except H2-induced H2O2 production. In summary, these results suggested that H2O2 might play a significant role in HO-1-dependent induction of plant osmotic stress tolerance triggered by H2.