BackgroundThe comorbidity between diabetes mellitus and depression was revealed, and diabetes mellitus increased the prevalence of depressive disorder, which ranked 13th in the leading causes of disability‐adjusted life‐years. Insulin resistance, which is common in diabetes mellitus, has increased the risk of depressive symptoms in both humans and animals. However, the mechanisms behind the comorbidity are multi‐factorial and complicated. There is still no causal chain to explain the comorbidity exactly. Moreover, Selective serotonin reuptake inhibitors, insulin and metformin, which are recommended for treating diabetes mellitus‐induced depression, were found to be a risk factor in some complications of diabetes.AimsGiven these problems, many researchers made remarkable efforts to analyze diabetes complicating depression from different aspects, including insulin resistance, stress and Hypothalamic–Pituitary–Adrenal axis, neurological system, oxidative stress, and inflammation. Drug therapy, such as Hydrogen Sulfide, Cannabidiol, Ascorbic Acid and Hesperidin, are conducive to alleviating diabetes mellitus and depression. Here, we reviewed the exact pathophysiology underlying the comorbidity between depressive disorder and diabetes mellitus and drug therapy.MethodsThe review refers to the available literature in PubMed and Web of Science, searching critical terms related to diabetes mellitus, depression and drug therapy.ResultsIn this review, we found that brain structure and function, neurogenesis, brain‐derived neurotrophic factor and glucose and lipid metabolism were involved in the pathophysiology of the comorbidity. Obesity might lead to diabetes mellitus and depression through reduced adiponectin and increased leptin and resistin. In addition, drug therapy displayed in this review could expand the region of potential therapy.ConclusionsThe review summarizes the mechanisms underlying the comorbidity. It also overviews drug therapy with anti‐diabetic and anti‐depressant effects.