The care of individuals with diabetes needs a holistic perspective, taking into account both the physical disease and the mental health problems that may be associated. Different studies show a higher prevalence of depression or anxiety issues in diabetes patients than in the general population, which is why diabetes can be considered one of the chronic diseases in which psychological care is crucial to maintain quality of life. The objective of this review is to examine the published articles that relate the bidirectional associations between objective and subjective measures of anxiety, depressive symptomatology, stress, sleep quality, and salivary biomarkers in patients with diabetes. For this, a search was carried out in the electronic databases PubMed, Cochrane, and SCOPUS using the keywords “diabetes”, “saliva”, “sleep”, “anxiety”, “depression”, and “stress” for works published up until May 2022 and limited to the English and Spanish languages. The sample comprised 14 articles, 5 of which analysed the associations between depressive symptomatology and salivary biomarkers in people with diabetes. Among the salivary biomarkers most frequently used to evaluate psychological alterations in persons with diabetes are cortisol and melatonin. Thus, significant changes in the levels of these biomarkers were observed in most studies. Four out of five studies reported a statistically significant relationship between increased salivary cortisol in the evening/midnight or the cortisol awakening response and depressive symptoms. In contrast, lower cortisol levels upon waking in the morning were observed when there was no depression or anxiety. Regarding the association between salivary cortisol values and sleep quality in patients with diabetes, lower morning cortisol values related to prolonged nighttime sleep were common in the analysed studies. Low melatonin concentrations showed a negative correlation with sleep quality. As it is an easy-to-apply and non-invasive method, the measurement of salivary biomarkers can be very useful for predicting psychological alterations in patients with diabetes. Further scientific studies are required to determine the sensitivity of these biological substances acting as biomarkers for detecting sleep disorders and psychological alterations.