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The cardiometabolic index (CMI), a combination of lipid parameters and measures of adiposity, has been shown to be associated with a variety of metabolic disorders. However, its relationship with depression in diabetic individuals remains unexplored. This study aims to investigate the association between CMI and depression among adults with diabetes and determine whether a threshold effect exists in this relationship. We analyzed data from 3069 adults with diabetes in the National Health and Nutrition Examination Survey 2005 to 2018. Depression was defined as a Patient Health Questionnaire-9 score ≥ 10. Survey-weighted logistic regression models were used to examine the association between CMI and depression. Generalized additive models assessed nonlinearity, and 2-piecewise linear regression identified inflection points. In addition, sensitivity analyses were performed to determine the stability of our findings. The prevalence of depression was 11.5% among diabetic participants. A significant positive association was observed between CMI and depression (odds ratio [OR]: 1.21, 95% confidence interval [CI]: 1.02 to 1.43, P = .032) in adjusted models. Compared to participants in the lowest CMI quartile, those in the highest quartile had more than double the odds of depression (OR: 2.24, 95% CI: 1.42 to 3.53, P < .001). Two-piecewise logistic regression confirmed a threshold at CMI = 1.66. Below this threshold, each unit increase in CMI was significantly associated with higher depression risk (OR: 2.23, 95% CI: 1.36 to 3.68, P = .001), while above this threshold, no significant association was detected (OR: 0.91, 95% CI: 0.62 to 1.35, P = .649). Among U.S. adults with diabetes, a higher CMI correlates with increased odds of depression in a nonlinear fashion, with risk saturation at approximately CMI 1.66. Addressing dyslipidaemia and controlling lipid levels may lower the risk of depression in patients with diabetes.