Background High-grade inflammation represents a critical contribution to the onset of depression and might be manageable by physical activity (PA). Nevertheless, no study has examined synergistic interactions of insufficient PA and high values of the systemic immune-inflammation index (SII) on psychological problems. Objective We investigated independent and synergistic interactions of insufficient PA and high SII levels on stress, anxiety, and depression in T2DM patients. Methods A cross-sectional research design with 294 T2DM patients was conducted. An XP-100 automated hematology analyzer was used to evaluate inflammatory biomarkers. Depression, Anxiety, and Stress Scale-21 items and a standardized questionnaire about PA were respectively used to measure psychological problems and metabolic equivalent of task (MET)-h/week. Results A multiple linear regression demonstrated that patients with insufficient PA were significantly more likely to have higher stress ( β = 1.84, 95% confidence interval (CI) = 1.03–2.65), anxiety ( β = 1.88, 95% CI = 1.81–2.96), and depression ( β = 2.53, 95% CI = 0.82–4.24) than those with active PA. A high SII level was a key predictor and was most strongly associated with stress ( β = 2.61, 95% CI = 2.02–3.20), anxiety ( β = 3.16, 95% CI = 2.37–3.94), and depression ( β = 3.72, 95% CI = 2.49–4.96) compared to those who had low SII levels. Notably, additive interaction results showed that combining insufficient PA and a high SII level had a significantly escalated 1.71-fold risk of stress, 1.82-fold risk of anxiety, and 2.69-fold risk of depression. Conclusions Active PA and a low SII had a positive synergistic effect of decreasing psychological problems.