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. This evidence concerns the gene INS and major depressive disorder.