Background Depression is common among type 2 diabetes mellitus (DM2)/coronary heart disease (CHD) patients and is associated with adverse health effects. A promising strategy to reduce burden of disease is to identify patients at risk for depression in order to offer indicated prevention. This study aims to assess the diagnostic accuracy of the Patient Health Questionnaire-9 (PHQ-9) to be used as a tool to identify high risk patients. Methods In this cross-sectional study, 586 consecutive DM2/CHD patients aged >18 were recruited through 23 general practices. PHQ-9 outcomes were compared to the Mini International Neuropsychiatric Interview (MINI), which was considered the reference standard. Diagnostic accuracy was evaluated for minor and major depression, comparing both sum- and algorithm based PHQ-9 scores. Results For minor depression, the optimal cut-off score was 8 (sensitivity 71%, specificity 71% and an AUC of 0.74). For major depression, the optimal cut-off score was 10 resulting in a sensitivity of 84%, a specificity of 82%, and an AUC of 0.88. The positive predictive value of the PHQ-9 algorithm for diagnosing minor and major depression was 25% and 33%, respectively. Limitations Two main limitations apply. MINI Interviewers were not blinded for PHQ-9 scores and less than 10% of all invited patients could be included in the analyses. This could have resulted in biased outcomes. Conclusions The PHQ-9 sum score performs well in identifying patients at high risk of minor and major depression. However, the PHQ-9 showed suboptimal results for diagnostic purposes. Therefore, it is recommended to combine the use of the PHQ-9 with further diagnostics to identify depression.