Diabetes and depression are common comorbid conditions. Although certain health behaviors and risk factors partially explain the association of depression and diabetes, other potential mechanisms have yet to be elucidated. Certain neuroendocrine alterations such as activation of the hypothalamic-pituitary-adrenal (HPA) axis and sympathetic nervous system (SNS) may contribute to the association. Additionally, presence of a proinflammatory state shown in recent literature in both diabetes and depression may contribute to this as well. The objectives of this review are to summarize and review the recent evidence showing alterations of these three biological systems—HPA axis, SNS, and inflammatory cascade—in depression, diabetes, and diabetes-related risk factors.