The craft lifted off at 2:16 a.m. EDT from Cape Canaveral, bound to orbit the closest planet to the sun in March 2011.
Seven instruments will study Mercury's heavily cratered surface, the composition of its core, its thin atmosphere, and its magnetic field.
Only one other spacecraft has visited the planet. In the mid-1970s, the Mariner 10 probe sent enough images to map just half of the planet's surface.
"We know as much about Mercury as we knew about the moon before the Space Age," Mark Robinson of Northwestern University told the New York Times.
Temperatures at the equator reach 800 degrees Fahrenheit, while at the poles they drop to minus 300 degrees, said Sean Solomon of the Carnegie Institution in Washington. That means water ice could be present, trapped there for billions of years.
The probe is part NASA's low-priced Discovery program, with Messenger's mission priced at $427 million.