Background. Depression is one of the most pressing public health problems and also highly prevalent comorbid condition among diabetes mellitus (DM) patients. Depression may impact lifestyle decisions and ability to poorly perform tasks which are risk factors for DM. For reducing the impact of depression among DM patients in developing countries, it is crucial to identify and assess associated risk factors of depression among DM patients, thereby designing effective management techniques. In line with this, the current study applies the Bayesian framework, which pools prior information and current data, to find factors associated with depression among DM patients. Methods. A hospital-based cross-sectional study was conducted at Adama Hospital and Medical College (AHMC) from March to April 2019. Data was entered into the Epi-data 3.1 then exported to the R software 3.4.4. Bayesian logistic regression models were fitted to the data using the Markov chain Monte Carlo (MCMC) algorithm. Estimates of model parameters including adjusted odds ratio (AOR) with 95% credible intervals (CI) were calculated. Results. A total of 359 adults with DM were included in the analysis. The prevalence of depression among diabetic patients was 9.22% (95% CI: 6.4% to 12.7%). Higher fasting blood sugar level (
AOR
=
−
1.012
; HPD CI: (1.0020, 1.025)), having diabetic complication (
AOR
=
0.1876
; HPD CI: (0.0214, 0.671)), history of hospital admission (
AOR
=
0.2865
; HPD CI: (0.0711, 0.7318)), low medication adherence (
AOR
=
29.29
; HPD CI: (3.383, 92.26)), and taking both insulin and oral antidiabetic medication (
AOR
=
24.46
; HPD CI: (15.20, 49.37) were significantly and strongly associated with depression among DM patients. Conclusions. Prevalence of depression among diabetes patients in the catchment area of Adama Hospital, Ethiopia, was found to be very low. Higher fasting blood sugar level, diabetic complication, history of hospital admission, low medication adherence, and taking both insulin and oral antidiabetic medication were found to be strong predictors of prevalence of depression among DM patients. Based on the findings, we recommend that integrating screening and treating of depression, early detection and management of diabetic complication, and giving counseling to improve medication adherence is an effective approach for lowering the impact of depression on DM patients.