Depression and type 2 diabetes (T2D) are common comorbid diseases and highly prevalent in the clinical setting with an unclarified mechanism. Zucker diabetic fatty (ZDF, fa/fa) rats natively develop T2D with hyperglycemia and hyperinsulinemia. Here we studied whether ZDF rats also innately develop depression, what a correlation is between depression and T2D, whether insulin receptor (IR) expression is involved in, and whether transcutaneous auricular vagus nerve stimulation (taVNS) would be beneficial in amelioration of the comorbidity. Six week old male ZDF and Zucker lean (ZL, fa/+) littermates were randomly divided into naïve (ZDF, n = 6; ZL, n = 7) and taVNS (ZDF-taVNS, n = 8; ZL-taVNS, n = 6) groups. Once daily 30 min-taVNS sessions were administrated under anesthesia for 34 consecutive days in taVNS groups. Blood glucose levels were tested weekly, and plasma glycosylated hemoglobin (HbAlc) level and immobility time in forced swimming test were determined on day 35 in all groups. The expression of insulin receptor (IR) in various tissues was also detected by immunostaining and Western blot. We found that naïve ZDF rats developed hyperglycemia steadily. These ZDF rats showed a strong positive correlation between longer immobility time and higher plasma HbAlC level. Long term taVNS treatment simultaneously prevented the development of depression-like behavior and progression of hyperglycemia in ZDF rats. The expression of IR in various tissues of naïve ZDF rats is lower than in naïve ZL and long-term taVNS treated ZDF rats. Collectively, our results indicate that in ZDF rats, i) depression and T2D develop simultaneously, ii) immobility time and HbAlc concentrations are highly and positively correlated, iii) a low expression of IR may be involved in the comorbidity of depression and T2D, and iv) taVNS is antidiabetic and antidepressive possibly through IR expression upregulation.