Depression is a common comorbidity of type 2 diabetes mellitus (T2DM) which adversely affects diabetes management and outcome. Identifying and treating comorbid depression may improve diabetes care. This cross-sectional study was conducted in several tertiary hospitals throughout Bangladesh from July 2017 to April 2018. Nine hundred (900) adult patients with T2DM aging ≥25 years having diabetes for at least 6 months and equal numbers of non-diabetic otherwise healthy controls were recruited from the outpatient departments of these centers. Depression was assessed in all consenting patients and controls by administering the Bangla (local language) version of the PRIME-MD Patient Health Questionnaire (PHQ-9); participants obtaining a score of 5 or more were labeled to have depression. Depression was present in 60.3% of T2DM patients and in 29.4% of controls. Statistically significant difference was found in age, marital status, occupation, body mass index (BMI), waist circumference, systolic blood pressure (BP), diastolic BP and PHQ-9 score between diabetic and non-diabetic subjects (<0.001). T2DM subjects had 4.71-fold higher odds of depression in comparison to the controls (95% CI: 3.76-5.90; p<0.001). Age ≥50 years, unmarried status, years of schooling ≤10 years, underweight, abdominal obesity, and hypertension appeared to be the significant predictors of depression in the study subjects. In T2DM subjects, diabetes in the family members, the presence of other comorbidities, diabetic complications, diabetes duration >5 years, insulin use, using insulin syringe for injection, albuminuria and CKD were the important predictors of depression. Our study found higher prevalence and risk of depression in T2DM patients than their non-diabetic counterparts. T2DM patients should be screened for depression in order to achieve and maintain the treatment goals.