Introduction: The presence of multiple comorbidities increases the risk of all-cause mortality, but the effects of the comorbidity sequence before the baseline date on mortality remain unexplored. This study investigated the relationship between coronary heart disease (CHD), atrial fibrillation (AF) and heart failure (HF) through their sequence of development and the effect on all-cause mortality risk in type 2 diabetes mellitus. Methods: This study included patients with type 2 diabetes mellitus prescribed antidiabetic/cardiovascular medications in public hospitals of Hong Kong between 1 January 2009 and 31 December 2009, with follow-up until death or 31 December 2019. The Cox regression was used to identify comorbidity sequences predicting all-cause mortality in patients with different medication subgroups. Results: A total of 249,291 patients (age: 66.0 ± 12.4 years, 47.4% male) were included. At baseline, 7564, 10,900 and 25,589 patients had AF, HF and CHD, respectively. Over follow-up (3524 ± 1218 days), 85,870 patients died (mortality rate: 35.7 per 1000 person-years). Sulphonylurea users with CHD developing later and insulin users with CHD developing earlier in the disease course had lower mortality risks. Amongst insulin users with two of the three comorbidities, those with CHD with preceding AF (hazard ratio (HR): 3.06, 95% CI: [2.60–3.61], p < 0.001) or HF (HR: 3.84 [3.47–4.24], p < 0.001) had a higher mortality. In users of lipid-lowering agents with all three comorbidities, those with preceding AF had a higher risk of mortality (AF-CHD-HF: HR: 3.22, [2.24–4.61], p < 0.001; AF-HF-CHD: HR: 3.71, [2.66–5.16], p < 0.001). Conclusions: The sequence of comorbidity development affects the risk of all-cause mortality to varying degrees in diabetic patients on different antidiabetic/cardiovascular medications.