This cohort study aimed to compare the incidence of type 2 diabetes in adults with depression-related weight gain, depression-related weight loss, depression with no weight change, and no depression. The study sample included 59,315 community-dwelling adults in Ontario, Canada. Depression-related weight change in the past 12 months was measured using the Composite International Diagnostic Interview-Short Form. Participants were followed for up to 20 years using administrative health data. Cox proportional hazards models compared the incidence of type 2 diabetes in adults with depression-related weight change and in adults with no depression. Adults with depression-related weight gain had an increased risk of type 2 diabetes compared to adults no depression (HR 1.70, 95% CI 1.32-2.20), adults with depression-related weight loss (HR 1.62, 95% CI 1.09-2.42), and adults with depression with no weight change (HR 1.39, 95% CI 1.03-1.86). Adults with depression with no weight change also had an increased risk of type 2 diabetes compared to those with no depression (HR 1.23, 95% CI 1.04-1.45). Associations were stronger among women and persisted after adjusting for attained overweight and obesity. Identifying symptoms of weight change in depression may aid in identifying adults at higher risk of type 2 diabetes and in developing tailored prevention strategies.