Aims Major depression is more prevalent in patients with type 2 diabetes mellitus (T2DM) than in general population. Comparing psychotherapeutic and pharmacological treatment responses could help to inform the choice between available treatment options. Method Thirty‐four patients with T2DM and major depression detected by using the Hospital Anxiety‐Depression Scale (HADS), the Montgomery‐Äsberg Depression Rating Scale (MADRS) and a structured interview (Mini‐International Neuropsychiatric Interview) were randomized to undergo Interpersonal Psychotherapy (IPT) or treatment with sertraline in a 3‐month acute intervention course in addition to a 3‐month continuation format. Provided that the initial MADRS score was not reduced ≥25% at week 6, these early non‐responding patients continued treatment in a sequential add‐on combined format. Psychological adjustment to diabetes, attachment style, diabetes self‐efficacy, quality of life and HbA1c were also evaluated along intervention. Results Out of 22 early‐responding patients (11 for each treatment type), 16 had clinically significant improvements (<50% initial MADRS score) at endpoint with 11 reaching remission (MADRS scores ≤8), and with no significant differences between IPT and sertraline. Within sequential add‐on treatment, out of eight patients, only three of them achieved a clinically significant improvement and only one reached remission. Conclusions These preliminary results suggested that IPT may be an option to treat major depression in T2DM against medical care with sertraline. Early non‐responding patients likely need alternative or longer treatment interventions. Limitations of this study relate to small sample and absence of a control group, which was difficult to implement due to ethical restrictions. Copyright © 2012 John Wiley & Sons, Ltd. Key Practitioner Message Findings suggest that Interpersonal Psychotherapy is a useful tool to treat major depression in type 2 diabetes patients. A significant number of type 2 diabetes patients with major depression do not achieve depression remission irrespective of the type of treatment. Further clinical research should focus on addictive effects of psychotherapy and psychopharmacology in the treatment of depressed patients with chronic somatic diseases.