Objective: This study aims to examine the associations between following of the Dutch dietary guidelines 2015 and elevated depressive and anxiety symptoms in adults with diabetes. Methods: Cross-sectional data of 3174 people (47% men, mean age 55 ± 14 years) with type 1 diabetes (n = 1369) and type 2 diabetes (n = 1805) participating in Diabetes MILES-The Netherlands were analysed. Following of the Dutch dietary guidelines 2015 was quantified using the Dutch Healthy Diet 2015 (DHD15)-index (12 food components; total score range 0–120 points), calculated from a 32-item food frequency questionnaire. Cases with elevated depressive and anxiety symptoms (cutoff ≥ 10) were measured using the Patient Health Questionnaire-9 and Generalized Anxiety Disorder-7, respectively. Cox regression models were used to estimate the prevalence ratios (PRs) adjusted for demographical, lifestyle related, clinical and biomedical factors. Results: Elevated depressive and anxiety symptoms were present in 167 (12%) and 89 (7%) of participants with type 1 diabetes and 215 (12%) and 97 (5%) of those with type 2 diabetes, respectively. In the total sample (n = 3174), a DHD15-index score in the highest quartile was associated with lower prevalence of elevated depressive symptoms, compared to the lowest quartile with an adjusted PR [95% CI] of 0.73 [0.55–0.98]. The inverse association was more pronounced among participants with type 2 diabetes and among non-smokers. There was no association with elevated anxiety symptoms (adjusted PR [95% CI]: 1.03 [0.68–1.55]). Conclusion: Closer following of the Dutch dietary guidelines 2015 was associated with a lower likelihood of elevated depressive symptoms in adults with type 2 diabetes.