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Background: Depression may be associated with the risk of developing type 2 diabetes. The goal of this study was to explore the association of severe of depression with the risk of type 2 diabetes in adults in Guizhou, China. Methods: A 10‐year prospective cohort study of 7158 nondiabetes adults aged 18 years or older was conducted in Guizhou, southwest China from 2010 to 2020. The Patient Health Questionnaire‐9 (PHQ‐9) was used to measure the prevalence of depression. Cox proportional hazard models were used to estimated hazard ratios (HRs) and 95% confidence intervals (95% CIs) of depression and incident type 2 diabetes. A quantile regression (QR) analytical approach were applied to evaluate the associations of PHQ‐9 score with plasma glucose values. Results: A total of 739 type 2 diabetes cases were identified during a median follow‐up of 6.59 years. The HR (95% CI) per 1‐SD increase for baseline PHQ‐9 score was 1.051 (1.021, 1.082) after multivariable adjustment. Compared with participants without depression, those with mild or more advanced depression had a higher risk of incident type 2 diabetes (HR:1.440 [95% CI, 1.095, 1.894]). Associations between depression with type 2 diabetes were suggested to be even stronger among women or participants aged ≥45 years (p <.05). There are significant positive associations of PHQ‐9 score with 2‐h oral glucose tolerance test blood glucose levels. Conclusion: Depression significantly increased the risk of incident type 2 diabetes, especially in women, participants aged ≥45 years, Han ethnicity, and urban residents. These findings highlighted the importance and urgency of depression health care. [ABSTRACT FROM AUTHOR]