Background. Although research has established the existence of an association between smoking and depression among adolescents, researchers have not reached consensus on the nature of the association. Objectives. The purpose of this paper is to review the literature, to examine the nature of the relationship between smoking and depression in adolescence, and to suggest future research directions. Methods. A literature search was conducted from the following six databases: (a) Ovid MEDLINE, (b) CINAHL, (c) PubMed Unrestricted, (d) PsycINFO, (e) ERIC, and (f) Sociological Abstracts. The combinations of the words, "depression," "smoking," "tobacco," "adolescent," and "teen" were used for keyword searches to find relevant articles. Results. In 47 of 57 studies, significant associations between smoking and depression were found. However, these significant relationships may either be spurious or unrelated to depression because a substantial number of studies did not adjust for confounders or did not use validated instruments to measure depression. Additionally, if the relationship is causal, its direction remains controversial. Five relationships have been suggested: (a) Depression causes smoking, (b) smoking causes depression, (c) there is a bidirectional relationship between smoking and depression, (d) smoking and depression occur due to confounders, and (e) subgroups with different relationships between the two conditions exist. Conclusions. It is necessary to further explore the relationship between smoking and depression. Future research should consider the need for: (a) longitudinal research designs, (b) more accurate measurement of depression, and (c) the control of confounders between smoking and depression.