Background: Depression in type 2 diabetes mellitus (T2DM) impacts glycemic control and complications. This study examines the influence of depression on compliance with recommended annual diabetes assessments in patients within the Local Healthcare Authority of Romagna. From a clinical health psychology perspective, understanding how depression influences patients’ engagement in managing their conditions is crucial. This insight can help improve healthcare services by ensuring they address mental health needs and thereby enhance treatment effectiveness and overall patient outcomes. Methods: This retrospective cohort study included residents of Romagna with incident T2DM from 2015 to 2017, followed from 1 January 2018 to 31 December 2022. Depression was identified via hospital discharge records or antidepressant prescriptions. Adherence to diabetes care guidelines was measured using the Guideline Composite Indicator (GCI). Results: The study included 13,285 patients, with a mean age of 61.1 years. Prevalence of post-diabetes depression increased from 3.0% in 2018 to 8.9% in 2022. Initial analyses showed higher GCI rates among patients with depression. However, propensity-score adjustment revealed that by 2021–2022, patients with pre-diabetes depression had 5% lower compliance rates (p-value ≤ 0.05). Older adults with depression had reduced adherence, while younger adults with post-diabetes depression had higher adherence rates. Conclusions: Depression significantly affects adherence to diabetes care guidelines in T2DM patients, particularly among older adults. Integrated care models addressing both diabetes and depression are crucial for improving health outcomes.