Momentum is conserved in the baseball-Moon system due to the equal and opposite forces they exert on each other. When the baseball is thrown upwards, it gains momentum in the upward direction, while the Moon experiences an equal and opposite change in momentum. Although the baseball's individual momentum changes as it ascends and descends, the overall momentum of the system remains constant. The Moon gains momentum in the direction opposite to the baseball's initial throw. Understanding these interactions clarifies how momentum conservation applies in gravitational contexts.