Abstract Background Baduanjin, a traditional Chinese exercise therapy, has been widely used in China to treat type 2 diabetes (T2DM) with depression (DD). However, the underlying mechanism of Baduanjin in anti-DD is unclear. This study was focused on investigating the effects of Baduanjin on symptoms of depression and blood glucose in patients with DD and the underlying mechanism. Methods We performed a 12-week Baduanjin intervention on patients with DD and longitudinally compared the differential expressions of lncRNAs, circRNAs, and mRNAs between pre- (BDD) and post- (ADD) Baduanjin intervention in the same group. Subsequently, Gene Ontology (GO) and pathway analysis was performed to investigate the function of differentially expressed mRNAs. Finally, Reverse Transcription-Polymerase Chain Reaction (RT-PCR) was used to verify the sequencing result and the mRNA-lncRNA regulatory network was constructed. Results The blood glucose level, depression index scores, and PHQ9 scores of the patients with DD were significantly decreased (P