Objective: To investigate the association between diabetes mellitus (DM) and incidence of depressive episodes among men and women. Methods: Data were used from 12,730 participants (5866 men and 6864 women) at baseline (2008–2010) and follow-up 1 (2012–2014) of the Longitudinal Study of Adult Health (ELSA-Brasil), a multicenter cohort of Brazilian civil servants. Participants were classified for diabetes using self-reported and clinical information, and evaluated for presence of depressive episodes by the Clinical Interview Schedule–Revised (CIS-R). Associations were estimated by means of logistic regression models (crude and adjusted for socio-demographic variables). Results: Women classified as with DM prior to the baseline were at 48% greater risk (95% confidence interval (CI) = 1.03–2.07) of depressive episodes in the crude model and 54% greater risk (95% CI = 1.06–2.19) in the final adjusted model compared to women classified as non-DM. No significant associations were observed for men. The regression models for duration of DM and incidence of depressive episodes ( n = 2143 participants; 1160 men and 983 women) returned no significant associations. Conclusion: In women classified as with prior DM, the greater risk of depressive episodes suggests that more frequent screening for depression may be beneficial as part of a multi-factorial approach to care for DM.