OBJECTIVE: The co-occurrence of type 2 diabetes (T2D) and mood disorders (depression or anxiety) is an exceedingly common comorbidity with poor prognosis. We aimed to explore the effects of physical activity (PA), fine particulate matter (PM) air pollution or their interactions on the initiation, progression and subsequent mortality of this comorbidity. METHODS: The prospective analysis was based on 336,545 participants in UK Biobank. Multi-state models were applied to capture potential impacts in all transition phases simultaneously along the natural history of the comorbidity. RESULTS: PA [walking (4 vs 1 quantile), moderate (4 vs 1 quantile) and vigorous activities (yes vs no)] protected against incident T2D and comorbid mood disorders afterwards, incident mood disorders, and all-cause mortality from baseline health and T2D, with the risk reductions ranging from 9 % to 23 %. Moderate and vigorous activities further prevented T2D development or mortality among depressive/anxious population. PM was associated with higher risks of developing incident mood disorders [Hazard ratio (HR) per interquartile range increase = 1.03], as well as of developing incident T2D (HR = 1.04) and further transition to comorbid mood disorders (HR = 1.10). The impacts of PA and PM were stronger during transitions to comorbidities than the occurrence of first diseases. The benefits of PA remained across all PM levels. CONCLUSIONS: Physical inactivity and PM could accelerate the initiation and progression of the comorbidity of T2D and mood disorders. PA and reducing pollution exposure may be included in health promotion strategies to decrease the comorbidity burden.