Aims/hypothesis The aim of the study was to identify risk factors for depression and anxiety in a well-characterised cohort of individuals with type 2 diabetes mellitus.Methods We used baseline data from participants (n = 1,066, 48.7% women, aged 67.9 ± 4.2 years) from the Edinburgh Type 2 Diabetes Study. Symptoms of anxiety and depression were assessed using the Hospital Anxiety and Depression Scale (HADS). Obesity was characterised according to both overall (body mass index, fat mass) and abdominal (waist circumference) measurements. Cardiovascular disease was assessed by questionnaire, physical examination and review of medical records. Stepwise multiple linear regression was performed to identify explanatory variables related to either anxiety or depression HADS scores.Results Abdominal obesity (waist circumference) and cardiovascular disease (ischaemic heart disease and ankle–brachial pressure index) were related to depression but not anxiety. Lifetime history of severe hypoglycaemia was associated with anxiety. Other cardiovascular risk factors or microvascular complications were not related to either anxiety or depressive symptoms.Conclusions/interpretation Depression but not anxiety is associated with abdominal obesity and cardiovascular disease in people with type 2 diabetes mellitus. This knowledge may help to identify depressive symptoms among patients with type 2 diabetes who are at greatest risk.