This work aimed to determine the effect of high-intensity interval training (HIIT) on depression and sleep quality in middle-aged women with type 2 diabetes. Eighty middle-aged type 2 diabetic women were equally randomly allocated to HIIT and nonexercising control group. For 12 weeks, the HIIT was conducted progressively. Outcome measures encompassed Beck Depression Inventory-II for depressive symptoms and Pittsburgh Sleep Quality Index for sleep quality. After the trial, the scores of Beck Depression Inventory-II and Pittsburgh Sleep Quality Index declined significantly in the HIIT group ( p < .05), with no significant changes in the group of control ( p > .05). Also, as compared with the controls, the scores of Beck Depression Inventory-II (mean difference = −5.77, 95% confidence interval [−7.97, −3.57], p = .001) and Pittsburgh Sleep Quality Index (mean difference = −2.98, 95% confidence interval [−4.25, −1.72], p = .001) in the HIIT group were significantly lower at poststudy. In middle-aged type 2 diabetic women, 12 weeks of progressive HIIT could improve depressive symptoms and sleep quality.