The melanocortin receptors are G-protein-coupled receptors, which are essential components of the hypothalamic–pituitary–adrenal axis, and they mediate the actions of melanocortins (melanocyte-stimulating hormones: α-MSH, β-MSH, and γ-MSH) as well as the adrenocorticotropin hormone (ACTH) in skin pigmentation, adrenal steroidogenesis, and stress response. Three melanocortin receptor genes (MC1R, MC2R, and MC5R) contribute to the risk of major depressive disorder (MDD), and one melanocortin receptor gene (MC4R) contributes to the risk of type 2 diabetes (T2D). MDD increases T2D risk in drug-naïve patients; thus, MDD and T2D commonly coexist. The five melanocortin receptor genes might confer risk for both disorders. However, they have never been investigated jointly to evaluate their potential contributing roles in the MDD-T2D comorbidity, specifically within families. In 212 Italian families with T2D and MDD, we tested 11 single nucleotide polymorphisms (SNPs) in the MC1R gene, 9 SNPs in MC2R, 3 SNPs in MC3R, 4 SNPs in MC4R, and 2 SNPs in MC5R. The testing used 2-point parametric linkage and linkage disequilibrium (LD) (i.e., association) analysis with four models (dominant with complete penetrance (D1), dominant with incomplete penetrance (D2), recessive with complete penetrance (R1), and recessive with incomplete penetrance (R2)). We detected significant (p ≤ 0.05) linkage and/or LD (i.e., association) to/with MDD for one SNP in MC2R (rs111734014) and one SNP in MC5R (rs2236700), and to/with T2D for three SNPs in MC1R (rs1805007 and rs201192930, and rs2228479), one SNP in MC2R (rs104894660), two SNPs in MC3R (rs3746619 and rs3827103), and one SNP in MC4R genes (Chr18-60372302). The linkage/LD/association was significant across different linkage patterns and different modes of inheritance. All reported variants are novel in MDD and T2D. This is the first study to report risk variants in MC1R, MC2R, and MC3R genes in T2D. MC2R and MC5R genes are replicated in MDD, with one novel variant each. Within our dataset, only the MC2R gene appears to confer risk for both MDD and T2D, albeit with different risk variants. To further clarity the role of the melanocortin receptor genes in MDD-T2D, these findings should be sought among other ethnicities as well.