The association between diabetes and depression, a common health comorbidity in people with diabetes, has been recognized but not well understood. The purpose of this study was to explore the association between diabetes and depression in a large international sample of adults, adjusting for demographics, socioeconomic status, behavioral risks, and current health status. The association between diabetes and depression was assessed in a sample of 57,004 Europeans ≥50 years of age from 15 European countries using data from the fifth wave of SHARE (the Survey of Health, Ageing, and Retirement in Europe). Multiple logistic regression models of the association between diabetes and depression were conducted, adjusting for potential confounders. Analyses showed that, despite diabetes being associated with depression in crude and partially adjusted models, further adjustment for self-perceived health made the association between diabetes and depression no longer statistically significant (odds ratio 1.0, 95% CI 0.9-1.0). Adjustment for a variety of demographic, socioeconomic, behavioral risk, and health status variables reduced the estimated association between diabetes and depression until it was no longer significant. Further research should explore the specific symptoms of distress characterized in people with diabetes.