The aim of this study was to identify the prevalence of depression in adults with type 2 diabetes mellitus (T2DM) in Beijing during COVID-19 and explore the correlation between depression and physical activity and other risk factors. 331 participants aged between 19 and 84 years participated the study by answering the questionnaire online. This study defined a risk group for those who were more likely to develop depression and the connection between different types of physical activity and depression in T2DM adults during COVID-19. It presented a serious situation in relation to the high prevalence of depression among T2DM patients in Beijing and provided information for creating a comprehensive intervention in managing the situation during COVID-19 period.