Type 2 diabetes mellitus (T2DM) is characterized by several complications, such as retinopathy, renal failure, cardiovascular disease, and diabetic neuropathy. Among these, neuropathy is the most severe complication, due to the challenging nature of its early detection. The linear Hearth Rate Variability (HRV) analysis is the most common diagnosis technique for diabetic neuropathy, and it is characterized by the determination of the sympathetic-parasympathetic balance on the peripheral nerves through a linear analysis of the tachogram obtained using photoplethysmography. We aimed to perform a multifractal analysis to identify autonomic neuropathy, which was not yet manifest and not detectable with the linear HRV analysis. We enrolled 10 healthy controls, 10 T2DM-diagnosed patients with not-full-blown neuropathy, and 10 T2DM diagnosed patients with full-blown neuropathy. The tachograms for the HRV analysis were obtained using finger photoplethysmography and a linear and/or multifractal analysis was performed. Our preliminary results showed that the linear analysis could effectively differentiate between healthy patients and T2DM patients with full-blown neuropathy; nevertheless, no differences were revealed comparing the full-blown to not-full-blown neuropathic diabetic patients. Conversely, the multifractal HRV analysis was effective for discriminating between full-blown and not-full-blown neuropathic T2DM patients. The multifractal analysis can represent a powerful strategy to determine neuropathic onset, even without clinical diagnostic evidence.