Diabetes is a chronic and progressive syndrome commonly associated with several neuropsychiatric comorbities, of which depression is the most studied. The prevalence of depression is about two or three times higher in diabetic patients compared to the general population. It is believed that the diabetes - depression relation may be bidirectional, i.e., the depression can lead to diabetes and conversely diabetes could facilitate the emergence of depression. Depression is one of the most neglected symptoms in diabetic patients and is directly linked with lowering of quality of life. The treatment of depression in these patients is still quite ineffective and in many cases treatmentrefractory. Furthermore, some of the first choice drugs used to treat the depression affect the blood glucose control, aggravating the hyperglycemic state. These issues underscore the urgency in studies searching for new pharmacological targets for the treatment of depression associated with diabetes. For this, a better understanding of the pathophysiology that relates this comorbidity becomes critical. In this respect, this review will focus on some hypotheses that have been proposed to explain the mechanisms underlying depression associated with diabetes, highlighting the treatment options currently available and their limitations. Among these hypotheses, we will point out the hyperglycemia as a primary metabolic cause of the depression development, the involvement of the dysregulation of hypothalamic pituitary-adrenal (HPA) axis and of neurotransmitter systems, specially monoaminergic system. Besides, the role of oxidative stress, neuroinflammation and cell death, especially in hippocampus and prefrontal cortex, brain areas important for the mediation and modulation of emotional behavior will also be discussed. Finally, we will bring up the influence of the epigenetic regulation with respect to neuropsychiatric disorders.