The aim of this study was to investigating the impact of major depression symptoms and diabetes-related distress on future health care costs and lost workdays in individuals with diabetes. We linked survey data from a random sample of a German statutory health insurance (SHI) with diabetes (n = 1488, 63.0% male, mean age 66.9 years) with their SHI data one year after the survey. Within the survey data we identified major depression symptoms (Patient Health Questionnaire-9) and diabetes-related distress (Problem Areas in Diabetes Scale). We retrieved health care costs and lost workdays from SHI data. To assess the impact of major depression symptoms and diabetes-related distress on health care costs and lost workdays, we adjusted regression models for age, sex, education, employment status, and diabetes duration, type, and severity. Major depression symptoms were associated with significantly higher costs (by a factor of 1.49; 95% CI: 1.18–1.88). Lost workdays were also more likely for respondents with depression symptoms (RR1.34; 0.97–1.86). Health care costs (by a factor of 0.81; 0.66–1.01) and the risk of lost workdays (RR 0.86; 0.62–1.18) may be lower among respondents with high diabetes-related distress. While major depression and diabetes-related distress have overlapping indicators, our results indicate different impacts on health care costs.