Aim To examine the association between depression and impaired glucose regulation, newly diagnosed diabetes and previously diagnosed diabetes in middle‐aged and elderly Chinese people, and whether depression was associated with different treatment regimens or durations of diabetes. Methods A cross‐sectional study was performed among 229 047 adults living in the community aged ≥ 40 years from 25 centres in China. The self‐reported depression rating scale Patient Health Questionnaire 9 (PHQ–9) was used to diagnose probable and sub‐threshold depression. Glucose metabolism status was determined according to World Health Organization 1999 diagnostic criteria. Results The numbers of participants with normal glucose regulation, impaired glucose regulation, newly diagnosed diabetes and previously diagnosed diabetes were 120 458, 59 512, 24 826 and 24 251, respectively. The prevalence of sub‐threshold depression in the total sample of participants was 4.8% (4.8%, 4.8%, 4.4% and 5.6% from normal glucose regulation to previously diagnosed diabetes, respectively), and the prevalence of probable depression was 1.1% (1.1%, 1.0%, 0.9% and 1.8% from normal glucose regulation to previously diagnosed diabetes, respectively). Compared with participants with normal glucose regulation, those with previously diagnosed diabetes had increased odds of probable depression odds ratio (OR) = 1.61, 95% confidence interval (CI) 1.39–1.87 and sub‐threshold depression (OR = 1.14, 95% CI 1.06–1.24), after adjustment for multiple confounding factors. Newly diagnosed diabetes or impaired glucose regulation was not associated with depression. Among those with previously diagnosed diabetes, insulin treatment was associated with greater odds of depression compared with no treatment or oral anti‐diabetic medicine. Conclusion Previously diagnosed diabetes, but not newly diagnosed diabetes or impaired glucose regulation, was associated with a higher prevalence of depression. Patients receiving insulin were more likely to have depression than those not receiving treatment or being treated with oral anti‐diabetic medicine. What's new? Using a nationwide sample of middle‐aged and elderly Chinese people, we showed that patients with previously diagnosed diabetes had a higher prevalence of depression, compared with those with normal glucose regulation. Newly diagnosed diabetes or impaired glucose regulation were not associated with depression. Patients with diabetes treated with insulin had greater odds of suffering from depression than those who were treated with oral medicine or were untreated. Duration of diabetes was not associated with depression, after accounting for the role of different treatments.