Although depression symptoms have been associated with type 2 diabetes mellitus (T2DM) among adults, little is known about the association of adolescent-onset depression and development of T2DM in young adulthood and whether the association differs by sex. We examined the association between high levels of depressive symptoms in adolescence and T2DM in adulthood in the National Longitudinal Study of Adolescent to Adult Health (n = 12,657). Adolescents completed the 20-item version of Center for Epidemiologic Studies Depression Scale during wave 1 (mean age, 16 years) and the 10-item version during follow-up (mean age, 29 years). A high level of depressive symptoms was defined as a score of 16 or higher on the 20-item version or 11 or higher on the 10-item version. T2DM was identified 13 years after baseline on the basis of either a glycated hemoglobin concentration of at least 6.5% or use of hypoglycemic medication (with or without insulin). Participants who reported taking insulin alone were classified as having type 1 diabetes mellitus and excluded. In models adjusted for demographic characteristics, women were at a higher risk of developing T2DM if they experienced high levels of depressive symptoms during both adolescence and adulthood (odds ratio = 1.96, 95% confidence interval: 1.23, 3.11) than were those who did not experience a high level of symptoms at either time point. No statistically significant associations were noted among men (odds ratio = 0.46, 95% confidence interval: 0.20, 1.05).