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Major depressive disorder (MDD) increases the risk of type 2 diabetes (T2D) by 60% in untreated patients, and hypercortisolism is common in MDD as well as in some patients with T2D. Patients with MDD, despite hypercortisolism, show inappropriately normal levels of corticotropin-releasing hormone (CRH) and plasma adrenocorticotropin (ACTH) in the cerebrospinal fluid, which might implicate impaired negative feedback. Also, a positive feedback loop of the CRH–norepinephrine (NE)–CRH system may be involved in the hypercortisolism of MDD and T2D. Dysfunctional CRH receptor 1 (CRHR1) and CRH receptor 2 (CRHR2), both of which are involved in glucose regulation, may explain hypercortisolism in MDD and T2D, at least in a subgroup of patients. CRHR1 increases glucose-stimulated insulin secretion. Dysfunctional CRHR1 variants can cause hypercortisolism, leading to serotonin dysfunction and depression, which can contribute to hyperglycemia, insulin resistance, and increased visceral fat, all of which are characteristics of T2D. CRHR2 is implicated in glucose homeostasis through the regulation of insulin secretion and gastrointestinal functions, and it stimulates insulin sensitivity at the muscular level. A few studies show a correlation of the CRHR2 gene with depressive disorders. Based on our own research, we have found a linkage and association (i.e., linkage disequilibrium [LD]) of the genes CRHR1 and CRHR2 with MDD and T2D in families with T2D. The correlation of CRHR1 and CRHR2 with MDD appears stronger than that with T2D, and per our hypothesis, MDD may precede the onset of T2D. According to the findings of our analysis, CRHR1 and CRHR2 variants could modify the response to prolonged chronic stress and contribute to high levels of cortisol, increasing the risk of developing MDD, T2D, and the comorbidity MDD-T2D. We report here the potential links of the CRH system, NE, and their roles in MDD and T2D.