Background: This study aimed to examine the relationship between family history of diabetes, irrational beliefs, and health anxiety in the development of type 2 diabetes mellitus (T2DM). Method: ATTICA is a prospective, cohort study (2002–2012). The working sample included 845 participants (18–89 years), free of diabetes at baseline. Α detailed biochemical, clinical, and lifestyle evaluation was performed, while participants’ irrational beliefs and health anxiety were assessed through the Irrational Beliefs Inventory and the Whiteley index scale, respectively. We evaluated the association between the participants’ family history of diabetes mellitus with the 10-year risk of diabetes mellitus, both in the total study’s sample and separately according to their levels of health anxiety and irrational beliefs. Results: The crude 10-year risk of T2DM was 12.9% (95%CI: 10.4, 15.4), with 191 cases of T2DM. Family history of diabetes was associated with 2.5 times higher odds (2.53, 95%CI 1.71, 3.75) of T2DM compared to those without family history. Among participants with family history of diabetes, the highest likelihood of developing T2DM, regarding their tested psychological features (i.e., low/high irrational beliefs in the entire group, low/high health anxiety in the entire group, and low/high irrational beliefs, low/high healthy anxiety), had people with high irrational beliefs, low health anxiety (OR 3.70, 95%CI 1.83, 7.48). Conclusions: The findings underline the important moderating role of irrational beliefs and health anxiety in the prevention of T2DM, among participants at increased risk of T2DM.