Diabetes and depression are chronic comorbidities with high incidence in the world. Due to the dysregulation of the hypothalamic-pituitary-adrenal axis, chronic inflammation and insulin resistance pathways, the two type diseases form a bidirectional pathological cycle. This often leads to cross effects of therapeutic drugs. This article systematically reviews the cross effects and mechanisms of hypoglycemic drugs and antidepressants in the comorbidities. Some drugs can achieve dual benefits through sharing mechanisms. For example, metformin and glucagon like 1 receptor agonists have both neuroprotective and anti-inflammatory effects, and fuloxetine and bupropion exhibit modern metabolic neutral or beneficial properties. On the contrary, the burden of insulin therapy and the metabolic side effects of tricyclic antidepressants may exacerbate comorbidities. Therefore, clinical management needs to shift towards integrated collaboration. The use of drugs with dual potential should be prioritized and personalized monitoring should be conducted. This review provides a basis for rational drug use in the comorbidities. It also points out the direction for new therapies and precise intervention strategies targeting shared pathways.