Haem oxygenase-1 (HO-1) and hydrogen peroxide (H2O2) are two key downstream signals of auxin, a well-known phytohormone regulating plant growth and development. However, the inter-relationship between HO-1 and H2O2 in auxin-mediated lateral root (LR) formation is poorly understood. Herein, we revealed that exogenous auxin, 1-naphthylacetic acid (NAA), could simultaneously stimulate Arabidopsis HO-1 (HY1) gene expression and H2O2 generation. Subsequently, LR formation was induced. NAA-induced HY1 expression is dependent on H2O2. This conclusion was supported by analyzing the removal of H2O2 with ascorbic acid (AsA) and dimethylthiourea (DMTU), both of which could block NAA-induced HY1 expression and LR formation. H2O2-induced LR formation was inhibited by an HO-1 inhibitor zinc protoporphyrin IX (Znpp) in wild-type and severely impaired in HY1 mutant hy1-100. Simultaneously, HY1 is required for NAA-mediated H2O2 generation, since Znpp inhibition of HY1 blocked the NAA-induced H2O2 production and LR formation. Genetic data demonstrated that hy1-100 was significantly impaired in H2O2 production and LR formation in response to NAA, compared with wild-type plants. The addition of carbon monoxide-releasing molecule-2 (CORM-2), the carbon monoxide (CO) donor, induced H2O2 production and LR formation, both of which were decreased by DMTU. Moreover, H2O2 and CORM-2 mimicked the NAA responses in the regulation of cell cycle genes expression, all of which were blocked by Znpp or DMTU, respectively, confirming that both H2O2 and CO were important in the early LR initiation. In summary, our pharmacological, genetic and molecular evidence demonstrated a close inter-relationship between HY1 and H2O2 existing in auxin-induced LR formation in Arabidopsis.