The clinical significance of albuminuria in diabetic subjects and the impact of its reduction on the main cardiorenal outcomes by different drug classes are among the most interesting research focuses of recent years. Although nephrologists and cardiologists have been paying attention to the study of proteinuria for years, currently among diabetics, increased urine albumin excretion ascertains the highest cardio-renal risk. In fact, diabetes is a condition by itself associated with a high-risk of both micro/macrovascular complications. Moreover, proteinuria reduction in diabetic subjects by several treatments lowers both renal and cardiovascular disease progression. The 2019 joint ESC-EASD guidelines on diabetes, prediabetes and cardiovascular (CV) disease assign to proteinuria a crucial role in defining CV risk level in the diabetic patient. In fact, proteinuria by itself allows the diabetic patient to be staged at very high CV risk, thus affecting the choice of anti-hyperglycemic drug class. The purpose of this review is to present a clear update on the role of albuminuria as a cardio-renal risk marker, starting from pathophysiological mechanisms in support of this role. Besides this, we will show the prognostic value in observational studies, as well as randomized clinical trials (RCTs) demonstrating the potential improvement of cardio-renal outcomes in diabetic patients by reducing proteinuria.