Depression is often comorbid with type 2 diabetes. Depression may increase vulnerability to and/or exacerbate existing cognitive deficits. Little is known about the brain pathophysiology underlying depression and cognitive abnormalities in diabetes. The aim of this study was to examine the relationship of orbitofrontal and anterior cingulate volumes with executive functioning and attention/processing speed in type 2 diabetic participants with and without major depression. A total of 21 diabetic participants with major depression, 23 diabetic participants with no depression, and 22 healthy controls were compared. Using brain magnetic resonance imaging, volumetric measures of the prefrontal cortex were examined in relation to executive functioning and attention/processing speed. Partial correlations suggested a significant positive relationship between right orbitofrontal regions and executive functioning in the group with diabetes and depression only, indicating that neurobiological changes in the orbitofrontal region may contribute to observed cognitive dysfunction.