We assessed the association between depression status and prevalent and incident type 2 diabetes (T2D) as well as the interaction between depression and a genetic risk score (GS) based on 20 T2D single-nucleotide polymorphisms (SNPs) in a multi-ethnic longitudinal study. We studied 17,375 participants at risk for dysglycemia. All participants had genotypic and phenotypic data collected at baseline and 9,930 participants were followed-up for a median of 3.3 years. Normal glucose tolerance (NGT), impaired fasting glucose (IFG)/impaired glucose tolerance (IGT) and T2D statuses were determined using an oral glucose tolerance test and the 2003 American Diabetes Association criteria. Depression was diagnosed at baseline using Diagnostic and Statistical Manual of Mental Disorders, Fourth Edition (DSM IV). Multivariate logistic regression models were adjusted for age, sex, ethnicity and body-mass index and an interaction term GS X depression was added to the model. After appropriate Bonferroni correction, no significant association between depression and T2D-related traits (IFG/IGT, T2D and dysglycemia), and no significant interaction between the GS and depression status was observed at baseline or follow-up. Our longitudinal data do not support an association between depression and abnormal glycemic status. Moreover, depression does not modify the effect of T2D predisposing gene variants.