Aims To compare the identification of prevalent depressive symptoms by the World Health Organization-5 Wellbeing Index (WHO-5) and Centre for Epidemiological Studies Depression Scale (CES-D) for South Asian and white European people, male and female, attending a diabetes screening programme, and to explore the adequacy of the screening tools for this population. An additional aim was to further explore associations of depressive symptoms with impaired glucose regulation (IGR) and Type 2 diabetes mellitus (Type2 DM). Methods Eight hundred and sixty-four white European (40-75 years old) and 290 South Asian people (25-75 years old) underwent an oral glucose tolerance test (OGTT), detailed history and anthropometric measurements and completed the WHO-5 and CES-D. Depressive symptoms were defined by a WHO-5 score ≤ 13, and CES-D score ≥ 16. Results Unadjusted prevalence of depressive symptoms with the WHO-5, for people with Type2 DM was 42.3% (47.4% in white European; 28.6% in South Asian) and for IGR 30.7% (26% in white European; 45.8% in South Asian). With the CES-D, the prevalence in Type2 DM was 27.2% (25.4% in white European; 31.8% in South Asian) and for IGR 30.7% (27.8% in white European; 40.7% in South Asian). Statistically significant differences in the prevalence of depressive symptoms for sex or ethnicity were not identified. Odds ratios adjusted for age, sex and ethnicity showed no significant association of depression with Type2 DM or IGR, with either WHO-5 or CES-D. Agreement was moderate (κ = 0.48, 95% confidence intervals 0.42-0.54), and reduced when identifying depressive symptoms in people with Type2 DM. For this group, a WHO-5 cut-point of ≤ 10 was optimal. Conclusions Depressive symptoms, identified by WHO-5 or CES-D, were not significantly more prevalent in people with Type2 DM or IGR. The WHO-5 and CES-D differed in their identification of depressive symptoms in people with Type2 DM, though discrepancies between sex and ethnicity were not identified.