The authors review recent literature that has demonstrated an association between cigarette smoking behavior and major depression. Persons with major depression are more likely to smoke and to have difficulty when they try to stop. When they manage to succeed in stopping, such persons are at increased risk of experiencing mild to severe states of depression, including full blown major depression. The period of vulnerability to a new depressive episode appears to vary from a few weeks to several months after cessation. This knowledge suggests a relationship between smoking and depression that is complex, pernicious, and potentially life-long. It is recommended that cessation treatments incorporate screening procedures that will identify those patients with a propensity to depression and monitor the emergence of postcessation depression, particularly in those with a history of depression.