Neighborhood characteristics have been associated with both depression and diabetes, but to date little attention has been paid to whether the association between depression and diabetes varies across different types of neighborhoods. This prospective study examined the relationship between depression, neighborhood deprivation, and risk of type 2 diabetes among 336,340 adults from a national-representative sample of primary care centers in Sweden (2001–2007). Multi-level logistic regression models were used to assess associations between depression and risk of type 2 diabetes across affluent and deprived neighborhoods. After accounting for demographic, individual-level socioeconomic, and health characteristics, depression was significantly associated with risk of diabetes (odds ratio (OR): 1.10, 95% confidence interval (CI): 1.06–1.14), as was neighborhood deprivation (OR for high vs. low deprivation: 1.66, 95% CI: 1.22–1.34). The interaction term between depression and neighborhood deprivation was non-significant, indicating that the relationship between depression and diabetes risk is similar across levels of neighborhood socioeconomic deprivation.