Type 2 diabetes mellitus (T2DM) is closely related to depression; however, the exact molecular mechnisms of this association are unknown. Here, we investigated whether circular RNAs (circRNAs) in the blood are related to the occurrence of depression in patients with T2DM. Fourteen patients with T2DM and depressive symptoms, as assessed by the Self-Rating Depression Scale, were included in this study. Cutoff points of 44 (total coarse points) and 55 (standard score) were used to define depression. The Patient Health Questionnaire 9 was used for common mental disorders, and a score of 5 or more the cutoff for depression. Microarray assays and quantitative real-time reverse transcription polymerase chain reaction showed that 183 hsa-circRNAs were significantly upregulated, whereas 64 were downregulated in the T2DM with depression group (p < 0.05) compared with that in the T2DM group. Differentially expressed hsa-circRNAs could interact with microRNAs to target mRNA expression. KEGG pathway analysis predicted that upregulation of hsa-circRNA_003251, hsa-circRNA_015115, hsa-circRNA_100918, and hsa_circRNA_001520 may participate in the thyroid hormone, Wnt, ErbB, and mitogen-activated protein kinase signalling pathways. We speculate that differentially expressed hsa-circRNAs could help us to clarify the pathogenesis of depression in patients with T2DM and could represent novel molecular targets for clinical diagnosis and therapy.