Anxiety and depression are common psychological disorders in patients with type 2 diabetes mellitus (T2DM), which was upsurging worldwide amid the COVID-19 pandemic. This study aimed to explore factors associated with anxiety and depression among T2DM patients in Bangladesh during the COVID-19 pandemic. A cross-sectional study was conducted among T2DM patients using face-to-face interviews. Anxiety and depressive symptoms were measured using the CAS and PHQ-9 scales. Outcomes were assessed including sociodemographic, lifestyle, anthropometric, and challenges of getting routine medical and healthcare access-related questions. The prevalence of anxiety and depressive symptoms were 29.8% and 22.7%, respectively. Regression analysis reported that males older than 50 years, illiterate, unemployed or retired, urban residents, below the recommended level of moderate to vigorous physical activity (MVPA), low dietary diversity score (DDS) and obese respondents were associated with higher odds of anxiety and depressive symptoms. Moreover, respondents with transport difficulties, unaffordable medicine, medicine shortages, close friends or family members diagnosed with COVID-19 and financial problems during COVID-19 had higher odds of anxiety and depressive symptoms than their counterparts, respectively. Our study suggests providing psychological support, such as home-based psychological interventions, and highlighting policy implications to ensure the well-being of T2DM patients in Bangladesh during the pandemic.