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Glycosylated hemoglobin is used to diagnose type 2 diabetes mellitus and assess metabolic control. Depression itself has been associated with high levels of HbA1c in individuals with T2DM. The association between diabetes and depression suggests the usefulness of determining HbA1c as a biological marker of depressive symptoms. The aim of this study was to determine HbA1c levels in individuals with T2DM with vs. without depression. Additionally, we analyzed the influence of pharmacological treatments, time of evolution, and complications of disease. We performed a literature search in different databases published up to January 2020. A total of 34 articles were included. Our results showed that individuals with T2DM with depression showed increased levels of HbA1c in comparison to individuals with T2DM without depression (d = 0.18, 95% CI: 0.12–0.29, p(Z) < 0.001; I2 = 85.00). We also found that HbA1c levels remained elevated in individuals with T2DM with depression who were taking hypoglycemic drugs (d = 0.20 95% CI: 0.11–0.30, p(Z) < 0.001; I2 = 86.80), in individuals with less than 10 years of evolution (d = 0.17 95% CI: 0.09–0.26, p(Z) = 0.001; I2 = 66.03) and in individuals with complications of the disease (d = 0.17, 95% CI: 0.07–0.26, p(Z) < 0.001; I2 = 58.41). Our results show that HbA1c levels in individuals with T2DM with depression are significantly increased compared to controls with T2DM without depression. Additionally, these levels remained elevated in individuals who were taking hypoglycemic drugs, those with less than 10 years of disease evolution, and those with complications related to diabetes. It is necessary to examine the existence of a diabetes–HbA1c–depression connection.