T2DM HF patients had higher circulating levels of interleukin‐6 (IL‐6) (P < .01), tumor necrosis factor‐alpha (P < .01), and soluble ST2 (sST2) (P < .01) and reported more somatic/affective depressive symptoms (Beck Depression Inventory II) (P < .05) but not cognitive/affective depressive symptoms (P = .20). Here, IL6 is linked to major depressive disorder.