Treating comorbid depression does not always improve outcomes for people with type 2 diabetes. Evidence is lacking on potential psychological and behavioural intermediaries of the impact of depression on diabetes outcomes. To synthesise evidence on the impact of comorbid depression on self-efficacy, illness perceptions, and self-management in people with type 2 diabetes. We searched PubMed, Embase, PsycINFO, and Global Health databases from inception up to 29th March 2023. Only prospective studies (cohort or intervention studies) were included, with no restrictions on language. The outcomes were self-efficacy, illness perceptions, and self-management. People with type 2 diabetes in community or health settings. Comorbid depression or depressive symptoms in people with type 2 diabetes. A narrative review of heterogeneous studies. The risk of bias was assessed using the Effective Public Health Practice Project (EPHPP) quality assessment tool for quantitative studies. Twenty-five studies were included, all from high-income countries. Depression was associated with lower self-efficacy (2 studies), poor illness perception (1 study), and poor self-management practices (17 studies) in people with type 2 diabetes. In 6/7 studies, depressive symptoms predicted less adherence to dietary recommendations, 8/10 studies found depressive symptoms were associated with poor medication adherence, 1/3 study found that depressive symptoms were associated with poor weight control, 3/4 with less physical exercise, and 2/3 with general self-care practices. There were no studies from low- and middle-income countries and non-Western settings, and we cannot assume the mechanisms linking comorbid depression with diabetes outcomes are similar. Comorbid depression was associated with lower self-efficacy, poorer self-management, and less adaptive illness perceptions among people with diabetes.