Recent advances in the neurobiology of depression have underlined the importance of markers of inflammation, neurotrophins, and hypothalamo-pituitary adrenal (HPA) axis dysfunction in the development of this pathology. These disorders could have some impact on other systems such as the glucose metabolism regulation with an increased risk of insulin resistance and type 2 diabetes. Type 2 diabetes is also frequently associated with a pro-inflammatory state that could favour the development of a depressive episode. Inflammatory phenomena and HPA axis dysfunction could be biological links between depression and type 2 diabetes and account not only for the frequent association between those two disorders, but also for the treatment-resistance to classical antidepressants.