Background: Evidence is lacking on risk factors for frailty and prefrailty and their relationship with self-management behaviors in patients ≥40 years of age with type 2 diabetes. Methods: Participants were selected as a cross-sectional cohort at five communities in Shanghai, China during January–March 2021. The modified FRAIL scale and the Summary of Diabetes Self-Care Activities (SDSCA) measure were used. Results: Of the 558 participants, 10.2% were classified as frailty and 34.1% as prefrailty. The prevalence of frailty was higher in males than in females (p = 0.009), whereas females were associated with higher odds of prefrailty (aOR 1.67, 95% CI [1.08–2.60]). Multimorbidity, ≥3 chronic diseases, and hospitalization in the past year were considered risk factors for both frailty and prefrailty. Each point earned on SDSCA and physical activity were associated with lower odds of frailty (aOR 0.95, 95% CI [0.92–0.98]) and prefrailty (aOR 0.52, 95% CI [0.31–0.85]), respectively. Frail participants performed significantly worse self-care practice than prefrail and non-frail ones, especially on diet, physical activity, and medication adherence (p < 0.001). Conclusions: Frail patients ≥40 years of age with type 2 diabetes reported poorer self-care performance. Further interventional studies are warranted to clarify their causal relationship.