Depression and diabetes are independent risk factors for one another, and both are associated with increased risk of cognitive decline. Diabetes patients with lower cognitive function are more likely to suffer poorer health outcomes. However, the role of depression in cognitive decline among people with diabetes is not well understood. This systematic review assessed whether adults with comorbid diabetes and depression or depressive symptoms exhibit greater cognitive decline relative to individuals with diabetes alone. Searches were run in CINAHL, the Cochrane Central Register of Controlled Trials, EMBASE, PsycINFO, and PubMed (MEDLINE) with no time or language restrictions. Studies were eligible for inclusion if they were of any quantitative study design, included participants aged 18 years or older with diabetes mellitus of which some must have presented with current depression, and measured cognition as an outcome. The Cochrane Collaboration’s Risk Of Bias In Non-randomized Studies–of Interventions tool was used for quality assessment of each study and its collected outcome. Fifteen articles were included in the final analysis. The high degree of heterogeneity in exposures, outcomes, and participant characteristics precluded a meta-analysis of any of the studies, and the risk of bias observed in these studies limits the strength of the evidence. Nonetheless, this review found the presence of comorbid depression was associated with poorer cognitive outcomes than for persons with diabetes alone. While large-scale preventive efforts must address epidemic levels of diabetes and its comorbidities, on the patient level healthcare professionals must be cognizant of the added difficulties that depression poses to patients and the extra support required to management diabetes in these cases. This systematic review is registered with the University of York Centre for Reviews and Dissemination under registration number 2015:CRD42015025122.