This study aimed to evaluate the effects of exercise on anxiety and depression in individuals with type 2 diabetics mellitus (T2DM) and to determine the optimal exercise prescription for this population. A comprehensive search of PubMed, Web of Science, EBSCO, Cochrane Library, and Scopus databases was conducted through 13 May 2025. Pooled analyses were performed using standardized mean difference (SMD) and 95% confidence interval. Exercise significantly alleviated anxiety (SMD, −0.66, p < 0.00001) and depression (SMD, −0.55, p < 0.0001) in individuals with T2DM. Subgroup analyses revealed that aerobic exercise (anxiety, SMD, −0.68, p < 0.00001; depression, SMD, −0.63, p = 0.005) and interventions performed ≥3 times per week (anxiety, SMD, −0.72, p < 0.00001; depression, SMD, −0.72, p < 0.00001), lasting < 60 min per session (anxiety, SMD, −0.78, p < 0.00001; depression, SMD, −0.67, p < 0.00001), and accumulating ≤ 180 min per week (anxiety, SMD, −0.60, p < 0.00001; depression, SMD, −0.60, p = 0.0008) were most effective in alleviating anxiety and depression. While the findings of this meta-analysis suggest that engaging in exercise at a frequency of at least 3 times per week, with each session lasting less than 60 min (accumulating to approximately 180 min per week), may be associated with greater psychological improvements, these recommendations should be interpreted cautiously due to variability in study quality, intervention types, and sample characteristics.