To examine whether adolescent cigarette smoking predicts the development of depressive symptoms, we used a longitudinal follow-up survey of 6,863 adolescents ages 12 to 18 in the U.S. who did not report notable depressive symptoms at baseline. This study used a self-report measure of six depressive symptoms experienced within the past twelve months at follow-up as the outcome of interest. Results indicated that 11.5% developed notable depressive symptoms at follow-up. There were marked gender differences with 15.3% of girls developing notable depressive symptoms compared to 8.1% of boys. Gender differences in depressive symptoms were consistent across all age groups and were apparent by the age of twelve. For both genders, smoking status was the most significant predictor of developing notable depressive symptoms. Several other risk factors including involvement in organized athletics, availability of social support, and personality characteristics were also found to be associated with development of depressive symptoms. Adolescent cigarette smoking may have marked health consequences in terms of depressive symptoms. The reduction of cigarette smoking among adolescents should be a focus of depression prevention interventions. In addition, the development of gender-specific components of prevention interventions may be warranted.