Diabetic patients are more affected by depression than non-diabetics, and this is related to greater treatment resistance and associated with poorer outcomes. This increase in the prevalence of depression in diabetics is also related to hyperglycemia and hypercortisolism. In diabetics, the hyperactivity of the HPA axis occurs in parallel to gut dysbiosis, weakness of the intestinal permeability barrier, and high bacterial-product translocation into the bloodstream. Diabetes also induces an increase in the permeability of the blood–brain barrier (BBB) and Toll-like receptor 4 (TLR4) expression in the hippocampus. Furthermore, lipopolysaccharide (LPS)-induced depression behaviors and neuroinflammation are exacerbated in diabetic mice. In this context, we propose here that hypercortisolism, in association with gut dysbiosis, leads to an exacerbation of hippocampal neuroinflammation, glutamatergic transmission, and neuronal apoptosis, leading to the development and aggravation of depression and to resistance to treatment of this mood disorder in diabetic patients.