Background and aims Diabetes Mellitus (DM) and depression occur comorbidly and share some pathophysiological mechanisms. The course of depression in patients with the two conditions is severe. Treatment of depression in diabetic patients requires special attention because most of psychopharmacological agents can worsen glycemic control. This article aims to review studies evaluating the antidepressant effect of anti-hyperglycemic agents from preclinical perspective. Methods A literature search was performed with PubMed and Google Scholar using relevant keywords (antidiabetic; diabetes; depression; antidepressant; animals) to extract relevant studies evaluating the antidepressant activity of anti-hyperglycemic agents in experimental models. Results Several studies have reported that some traditional anti-hyperglycemic agents reduce depression-like behavior in the absence or presence of diabetes. These drugs include insulin, glyburide, metformin, pioglitazone, vildagliptin, liraglutide, and exenatide. The antidepressant activity of anti-hyperglycemic agents may be mediated by reducing the blood glucose level, ameliorating the central oxidative stress and inflammation, and regulating the hypothalamic–pituitary–adrenal axis (HPAA). Conclusions Drugs which have both antidiabetic and antidepressant activities can provide better treatment strategy for patients with diabetes-associated depression. However, further research studies are still required in human subjects.