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Objectives To explore the relationship between depressive symptoms and waist-to-hip ratio, dyslipidemia, glycemic levels or blood pressure among diabetic and non-diabetic Chinese women. Methods 11,908 women aged ≥40 years were enrolled in this cross-sectional study, including 2,511 with type 2 diabetes and 9,397 without. Depressive symptoms (defined as having mild-to-severe depressive symptoms) were assessed by the Patient Health Questionnaire-9 (PHQ-9) diagnostic algorithm. The prevalence and the odds ratios (ORs) with 95% confidence intervals (CIs) for having depressive symptoms were estimated using logistic regression analysis. Results The age-adjusted prevalence of depressive symptoms was significantly higher in non-diabetic subjects with waist-to-hip ratio (WHR) ≥0.9 (8.6%, age-adjusted OR 1.51 [95% CI 1.17, 1.95]), total cholesterol (TC)>6.22 mmol/L (8.8%, 1.58 [1.16, 2.15]), and Hemoglobin A1c (HbA1c) ≥6.00 mmol/L (7.7%, 1.69 [1.34, 2.14]), while it was significantly lower in non-diabetic subjects with diastolic blood pressure (DBP) between 80 to 89 mmHg (6.2%, 0.78 [0.64, 0.95]). These relationships remained significant even after controlling for multiple factors (WHR ≥0.9: multivariable-adjusted OR 1.39 [95% CI 1.07, 1.80]; TC>6.22 mmol/L: 1.56 [1.14, 2.12]; HbA1c ≥6.00 mmol/L: 1.64 [1.30, 2.08]; DBP 80-89 mmHg: 0.78 [0.64, 0.95]). However, no significant trend between depressive symptoms and WHC, TC, HbA1c, DBP was observed in diabetic women, and no significant trend relationship between depressive symptoms and BMI, WC, TG, or SBP was observed in both non-diabetic and diabetic women. Moreover, the prevalence of depressive symptoms was significantly higher in previously-diagnosed diabetes, compared with non-diabetic subjects, while no significant differences were observed between newly-diagnosed diabetes and non-diabetic subjects. Conclusion The present study showed a relationship between WHR, TC, HbA1c, DBP and depressive symptoms among non-diabetic women, while no significant relationship between them was observed among diabetic women, even after controlling for multiple confounding factors.