Context Patients with diabetes mellitus (DM) have a poorer quality of life when compared with patients without DM. In fact, one in every five diabetic patients suffers from comorbid depression, which can lead to poor management, poor compliance with treatment, and low quality of life. Therefore, we assessed the prevalence of depression and identified its associated factors among diabetic patients at Jazan Province, KSA. Methods and Materials A cross-sectional study was conducted among 500 diabetic patients attending a diabetic center in addition to four primary healthcare centers. We used a simple Arabic translation of the Beck Depression Inventory (BDI II) tool to evaluate the depression level among the subjects. We also evaluated the frequencies of certain sociodemographic characteristics and clinical information. Moreover, we performed univariate and multivariate analyses to identify the potential risk factors using adjusted odds ratios (AORs). Results The prevalence of depression among DM patients was 20.6%. The majority of patients showed no depression (N = 285, 59.4%), one-fifth had mild depression (N = 96, 20.0%), some (N = 55, 11.4%) had moderate depression, and some had severe depression (N = 44, 9.2%). Depression was significantly more prevalent among uneducated patients (N = 27, 31.8%) (X2 = 17.627, P = 0.001) and patients with low monthly income (< 2500 SR/month) (N = 33, 22.8%) (X2 = 9.920, P = 0.019). Hypertension (AOR = 2.531, 95% CI [1.454, 4.406]) and ischemic heart diseases (AOR = 3.892, 95% CI [1.995, 7.593]) were considered as risk factors for depression among diabetic patients. Conclusions Almost one in every five patients with DM is affected by depression coexisting with cardiovascular diseases. Therefore, screening for psychological problems, proper treatment, and educating patients with diabetes about DM self-management should be routine components of DM care.