Thyroid dysfunction and diabetes mellitus are closely linked. Several studies have documented the increased prevalence of thyroid disorders in patients with diabetes mellitus and vice versa. This review critically discusses the different underlying mechanisms linking type 1 and 2 diabetes and thyroid dysfunction to demonstrate that the association of these two common disorders is unlikely a simple coincidence. We assess the current state of knowledge on the central and peripheral control of thyroid hormone on food intake and glucose and lipid metabolism in target tissues (such as liver, white and brown adipose tissue, pancreatic β cells, and skeletal muscle) to explain the mechanism linking overt and subclinical hypothyroidism to type 2 diabetes and metabolic syndrome. We also elucidate the common susceptibility genes and the pathogenetic mechanisms contributing to the autoimmune mechanism involved in the onset of type 1 diabetes mellitus and autoimmune thyroid disorders. An untreated thyroid dysfunction can impair the metabolic control of diabetic patients, and this association can have important repercussions on the outcome of both of these disorders. Therefore, we offer recommendations for the diagnosis, management, and screening of thyroid disorders in patients with diabetes mellitus, including the treatment of diabetic patients planning a pregnancy. We also discuss the major causes of failure to achieve an optimal management of thyroid dysfunction in diabetic patients and provide recommendations for assessing and treating these disorders during therapy with antidiabetic drugs. An algorithm for a correct approach of these disorders when linked is also provided.