Both diabetes types, types 1 and 2, are associated with cognitive impairments. Each period of life is concerned, and this is an increasing public health problem. Animal models have been developed to investigate the biological actors involved in such impairments. Many levels of the brain function (structure, volume, neurogenesis, neurotransmission, behavior) are involved. In this review, we detailed the part potentially played by the Hypothalamic-Pituitary Adrenal axis in these dysfunctions. Notably, regulating glucocorticoid levels, their receptors and their bioavailability appear to be relevant for future research studies, and treatment development.