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This Review summarises the research into five common mental health problems that can affect adults living with type 1 diabetes, type 2 diabetes, or gestational diabetes: fear of hypoglycaemia, diabetes distress, depression, disordered eating, and sleep disorders. Mental health problems are common among adults with diabetes and can substantially decrease the quality of life and self-care, and increase the risk of adverse health outcomes, such as high HbA_1c, comorbidities, and premature mortality. Many mental health problems are bi-directionally linked to diabetes. Randomised controlled trials have shown that psychological interventions are effective in reducing symptoms in the short term, including cognitive behavioural therapy, mindfulness-based cognitive therapy, and stepped care, which can also be offered digitally as a first step. However, diabetes distress, depression, and other mental health problems are known to recur and the longer-term outcomes of prevention or treatments are unclear. In general, mental health problems are understudied in diabetes, particularly gestational diabetes. People with diabetes want to talk with their diabetes health professionals about the emotional side of living with and managing diabetes. These findings support the integration of routine monitoring and psychological support into clinical practice. Health-care policy makers should ensure that diabetes health-care professionals are well equipped to discuss mental health and refer to appropriate digital health tools and mental health specialists when needed.