It doesn't

But how you feel about Diabetes can cause depression and since many diabetics are afraid or unsure or feel let down by their bodies because of the diagnosis, and then the years of dealing with it, the depression sets in

At least in Canada there are Counsellors that specialize in dealing with Diabetics to help them try to accept their condition and not see it as some huge burden (because it really isn't unless it let it be)

It is worth seeking help if you experience depression because it does make your diabetes "worse" - effectively the very thing you are worrying about is being made worse because you are worrying about it - so very worth dealing with

I am in South Africa. I have been diagnosed by my psychiatrist with major depression disorder. I am not able to work any longer which saddens me. No I have have to claim disability pension from the government.