This retrospective cohort study aimed to assess the mortality risk in patients with type 2 diabetes mellitus (DM) by screening for depressive symptoms and peripheral artery disease (PAD). We enrolled patients aged ≥60 years who had undergone assessments of both the ankle–brachial index (ABI) and the five-item Geriatric Depression Scale (GDS-5). PAD and depression were defined as ABI ≤ 0.90 and GDS-5 ≥ 1, respectively. The primary endpoint was total mortality. In 1673 enrolled patients, the prevalence of PAD was higher in those with depression than in those without depression (8.9% vs. 5.7%, p = 0.021). After a median follow-up of 56.6 months (interquartile range: 47.0–62.3 months), a total of 168 (10.0%) deaths occurred. The patients in the depression and PAD subgroup had the highest hazard ratio of mortality, followed by the PAD without depression subgroup and the depression without PAD subgroup (2.209, 95%CI: 1.158–4.217; 1.958, 95%CI: 1.060–3.618; and 1.576, 95%CI: 1.131–2.196; respectively) in comparison to the patients without depression and PAD after adjustment for associated factors. In conclusion, a combination of depression and PAD predicted the highest mortality risk. Screening for depression and PAD is recommended in patients aged ≥60 years with type 2 DM.