Diabetes mellitus and depression are comorbid diseases affecting many patients all over the world. The current study was designed to compare the antidepressant effect of some antidiabetic drugs such as vildagliptin, pioglitazone, glyburide, and metformin on depression-related or unrelated to type 2 diabetes mellitus (T2DM). T2DM was induced by high-fat diet and streptozotocin, while diabetes-unrelated depression was induced by reserpine. Antidiabetic agents reduced diabetes-associated depression as indicated by the reduction in the immobility time in the forced swim test, elevation of cortical and hippocampal serotonin and brain-derived neurotrophic factor (BDNF), and the increase in serum β-Amyloid 1–42 (Aβ1–42) levels. Antidiabetic agents also reduced serum corticosterone levels suggesting their inhibitory effect on hypothalamus-pituitary-adrenal axis activity. The antidepressant activity of the tested compounds was associated with reduction of oxidative stress and inflammation in brain. Vildagliptin showed the highest, while glyburide showed the least antidiabetic and antidepressant activity. Antidepressant activities of pioglitazone and metformin were comparable. The difference in antioxidant and anti-inflammatory activities between groups showed the same pattern of the antidepressant effect suggesting that these two pathways may play role in ameliorating depression in diabetic rats. On the other hand, the administration of reserpine in small doses (0.2 mg/kg) induced depression associated with hyperglycemia in non-diabetic rats. Although all treatments improved glycemic parameters to similar levels, vildagliptin showed the greatest effect on Aβ1–42, serotonin, norepinephrine, and BDNF levels. In conclusion, vildagliptin seems to be the leading drug among the tested antidiabetics and may be the most appropriate antidiabetic for managing diabetes-associated depression.