The University of Southampton team looked at available medical studies and found evidence the two were linked.
But there was no proof that one necessarily caused the other.
It may be that people taking anti-depressants put on weight which, in turn, increases their diabetes risk, the team told Diabetes Care journal.
Or the drugs themselves may interfere with blood sugar control.
Their analysis of 22 studies involving thousands of patients on anti-depressants could not single out any class of drug or type of person as high risk.
Prof Richard Holt and colleagues say more research is needed to investigate what factors lie behind the findings.
And they say doctors should keep a closer check for early warning signs of diabetes in patients who have been prescribed these drugs.
With 46 million anti-depressant prescriptions a year in the UK, this potential increased risk is worrying, they say.
Prof Holt said: "Some of this may be coincidence but there's a signal that people who are being treated with anti-depressants then have an increased risk of going on to develop diabetes.
"We need to think about screening and look at means to reduce that risk."
Diabetes is easy to diagnose with a blood test, and Prof Holt says this ought to be part of a doctor's consultation.
"Diabetes is potentially preventable by changing your diet and being more physically active.
"Physical activity is also good for your mental health so there's a double reason to be thinking about lifestyle changes."
Around three million people in the UK are thought to have diabetes, with most cases being type 2.
Dr Matthew Hobbs of Diabetes UK, said: "These findings fall short of being strong evidence that taking anti-depressants directly increases risk of type 2 diabetes. In this review, even the studies that did suggest a link showed only a small effect and just because two things tend to occur together, it doesn't necessarily mean that one is causing the other.
"But what is clear is that some anti-depressants lead to weight gain and that putting on weight increases risk of type 2 diabetes. Anyone who is currently taking, or considering taking, anti-depressants and is concerned about this should discuss their concerns with their GP."

The draw was made at Hampden on Sunday evening following Aberdeen's 1-0 quarter-final win over Partick Thistle at Pittodrie.
Celtic sealed their spot by coming from behind to beat St Mirren 4-1 earlier in the day.
On Saturday, Rangers beat Hamilton 6-0 and Hibs saw off Ayr United 3-1.
The semi-final ties will be played on April 22/23.
Aberdeen manager Derek McInnes expects a tough match against Neil Lennon's Hibs, but admitted to a slight sense of relief over the draw.
"If we are all being honest, Celtic are the strongest team by a long way," he told BBC Radio Scotland.
"So it is a good draw and Hibs will probably see it as a good draw.
"Hibs have done really well and are holders and this is the type of game you want to be involved in.
"If you look at the level of player Hibs have got, the experience of the manager and the fact they won the cup last year and have that experience, there shouldn't be too much between the teams.
"If we are deemed to be favourites, so be it and we just have to do our business on the pitch."
Celtic and Rangers meet in the league on Sunday, with Brendan Rodgers' team having won the three matches between the sides so far this season.
They followed a 5-1 win at Celtic Park with a 1-0 League Cup semi-final win and a 2-1 Premiership victory at Ibrox.
Hibs beat Rangers 3-2 in last season's final to lift the Scottish Cup for the first time in 114 years.
They have played Aberdeen 32 times in the Scottish Cup, winning nine times, losing 13 times with 10 matches ending in draws.
People prescribed anti-depressants should be aware they could be at increased risk of type 2 diabetes, say UK researchers.
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Celtic and Rangers will meet in the Scottish Cup semi-final at Hampden, while holders Hibernian face Aberdeen in the other last four match.