Mexican immigrants in the US often incorporate folk beliefs into diabetes etiologies but little is known about the relationship between such beliefs and depression. This study examines the relationship of diabetes beliefs and depression among 404 first- and second-generation Mexican immigrants seeking diabetes care in safety-net clinics in Chicago and San Francisco. We used multivariate linear regression to compare the association of depression with beliefs that susto (fright), coraje (anger), and/or interpersonal abuse cause diabetes, adjusting for gender, age, income, education, diabetes duration, co-morbidities, language preference, and acculturation. We incorporated the belief that abuse causes diabetes based on previous ethnographic research. Individuals reporting belief that abuse contributes to diabetes were significantly more likely to report symptoms of depression before (β = 1.37; p < 0.05) and after adjustment (β = 2.03; p < 0.001). Believing that susto and/or coraje cause diabetes was not significantly associated with depression before or after adjustment. The significant association between depression and belief that abuse contributes to diabetes onset suggests that belief in a specific form of social distress may be more closely associated with depression among people with diabetes than a folk belief such as susto or coraje.