Using nationally representative data for 16,454 8th graders and 13,840 10th graders, we explore racial/ethnic differences in "daily cigarette initiation," beginning to smoke on a daily basis between baseline interviews and reinterviews conducted two years later. In both samples, the initiation rate among whites is more than double the rate among blacks and higher than rates among Asian/Pacific Islanders and Hispanics. Risk factors at the individual, family, and peer-group levels of analysis do not explain most racial/ethnic differences. We develop alternative hypotheses by extending theories of cigarette use to the school level, and we test them using multilevel models: Consistent with social learning theory, cigarette risk among blacks and Hispanics decreases as the percentage of racial/ethnic minority students in the school increases. Consistent with strain theory, cigarette risk increases with the academic competitiveness of the school--especially among females--after controlling for the adolescent's academic performance.