Cigarette smoking remains the most preventable cause of illness and death in society today. This chapter explores the links between smoking behaviour and depressive symptoms. It highlights some of the major findings from the literature and addresses several conceptual and methodological issues that one believes are critical to gain a better understanding of smoking-depression associations. The chapter presents the case that delineating the nature of smoking-depression relationships calls for research that goes beyond simple description of cross-sectional correlational data. It reviews several conceptual models such as predisposition model, consequence model, spectrum model and pathoplasticity model that may lend them to further elucidation of the processes underlying associations between smoking and depression. The chapter also highlights several potentially important moderators of the smoking-depression link. Finally it offers thoughts on future research directions for this important area of inquiry.