Diabetes mellitus (DM) is a complex, chronic, multifactorial, and costly health problem representing 8% of total public health expenditures in Spain. The objective of this study was to analyse the prevalence and costs of Anxiety (AX) and Depression (DP) in the Spanish working population with DM. Data were obtained from the National Health Survey of Spain 2017. A multivariate analysis was conducted to predict the use of resources and absenteeism/presenteeism. Direct and indirect costs were calculated. The final population analysed contained 15,822 subjects (18–65 years old). DM prevalence was 4.8%, and AX-DP 10.6% (50.5% were men). Self-diagnosed health was rated as regular, poor or very poor in 89% of DM subjects with DP-AX. The average costs estimated were €24,643.41 for DM subjects with AX-DP and €20,059.53 for those with only DM. The total estimated 2017 economic impact of DM was 2.4% of Spanish gross domestic product (13% directly related to DP-AX). Indirect costs represented 72.7% of total DP-AX costs. Spanish society is paying a considerable price for the incidence of DP-AX levels with DM in the working population. This global challenge has important repercussions for individuals’ quality of life, health systems, and countries’ development and economic growth.