Background/Objectives: There is a bidirectional relationship between major depressive disorder (MDD) and type 2 diabetes (T2D), as MDD increases the risk of T2D by 38% to 67%, and T2D increases the risk of MDD by 15% to 33%. Many factors contribute to the occurrence of comorbid MDD and T2D, including converging pathophysiological pathways like inflammation. The objective of this review was to comprehensively summarize available evidence on the relationship between MDD, T2D, and inflammation. Results: Although the precise mechanisms linking T2D and MDD are still not fully understood, shared inflammatory mechanisms likely contributes to the heightened risk of developing this comorbidity. To date, the evidence supports that chronic low-grade inflammation is a feature of both MDD and T2D and has been shown to interact with pathways that are relevant to the development of both chronic disorders, including the hypothalamic–pituitary–adrenal (HPA) axis, neuroplastic processes, gut microbiome, insulin resistance, and adipose tissue dysfunction. Through their impact on inflammation, dietary and physical activity interventions can play a role in the risk and management of MDD and T2D. Conclusions: Deepening our understanding of the mechanisms underlying the augmented inflammatory responses observed in individuals with the MDD and T2D comorbidity is essential for tailoring appropriate therapeutic strategies.