This study examined the level of adherence to self-care behaviors among individuals with type 2 diabetes in Saudi Arabia and its connection with depression and demographic factors. A cross-sectional survey was conducted among diabetes patients using the Patient Health Questionnaire (PHQ-9) to measure depression and the Summary of Diabetes Self-Care Activities (SDSCA) to evaluate diabetes self-care activities. Among the 252 participants who completed the survey, 43.2% were older than 55 and 59% were men. The ordinal regression model showed an association between the PHQ-9 and SDSCA scores with an OR of 0.83 (95% CI: 0.71 to 0.96, p = 0.013). The PHQ-9 score was significantly associated with blood sugar monitoring (OR: 0.90 [95% CI: 0.82 to 0.99, p = 0.003]), exercise (OR: 0.88 [95% CI: 0.79 to 0.98, p = 0.002]), and diet (OR: 0.94 [95% CI: 0.85 to 1.03, p = 0.045]). Of all the diabetes-related factors, only a history of hospitalization and receiving diabetes education were found to be associated with improved self-care behaviors. In conclusion, a negative association was found between PHQ-9 scores and the SDSCA mean score and most daily diabetic self-care behavior components.