Program ACTIVE II is a depression treatment study sponsored by the National Institutes of Health, Indiana University, Ohio University and West Virginia University. The purpose of this study is to test the effectiveness of two forms of treatment for depression for adults with type 2 diabetes: talk therapy (counseling) and exercise. Both of these forms of treatment have been proven to be effective in helping people with depression alone. In this study, the investigators will test to see if both of these approaches may be more effective in helping people live depression-free compared to talk therapy, exercise or usual care alone.