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Abstract Background Depression and diabetes are major health challenges, with heavy economic social burden, and comorbid depression in diabetes could lead to a wide range of poor health outcomes. Although many descriptive studies have highlighted the prevalence of comorbid depression and its associated factors, the situation in Hunan, China, remains unclear. Therefore, this study aimed to identify the prevalence of comorbid depression and associated factors among hospitalized type 2 diabetes mellitus (T2DM) patients in Hunan, China. Methods This cross-sectional study involved 496 patients with T2DM who were referred to the endocrinology inpatient department of Xiangya Hospital affiliated to Central South University, Hunan. Participants’ data on socio-demographic status, lifestyle factors, T2DM-related characteristics, and social support were collected. Depression was evaluated using the Hospital Anxiety and Depression Scale-depression subscale. All statistical analyses were conducted using the R software version 4.2.1. Results The prevalence of comorbid depression among hospitalized T2DM patients in Hunan was 27.22% (95% Confidence Interval [CI]: 23.3–31.1%). Individuals with depression differed significantly from those without depression in age, educational level, per capita monthly household income, current work status, current smoking status, current drinking status, regular physical activity, duration of diabetes, hypertension, chronic kidney disease, stroke, fatty liver, diabetic nephropathy, diabetic retinopathy, insulin use, HbA1c, and social support. A multivariable logistic regression model showed that insulin users (adjusted OR = 1.86, 95% CI: 1.02–3.42) had a higher risk of depression, while those with regular physical activity (adjusted OR = 0.48, 95% CI: 0.30–0.77) or greater social support (adjusted OR = 0.20, 95% CI: 0.11–0.34) had a lower risk of depression. The area under the curve of the receiver operator characteristic based on this model was 0.741 with a sensitivity of 0.785 and specificity of 0.615. Conclusions Depression was moderately prevalent among hospitalized T2DM patients in Hunan, China. Insulin treatment strategies, regular physical activity, and social support were significantly independently associated with depression, and the multivariable model based on these three factors demonstrated good predictivity, which could be applied in clinical practice.