This paper examines the influence of body weight, body image, and cigarette prices in determining adolescent smoking initiation. Adolescents who desire to lose weight may initiate smoking as a method of appetite control. Such behavior may undermine the goals of tobacco control policies that seek to prevent smoking initiation. Using a nationally representative panel of adolescents, we show that smoking initiation is more likely among females who are overweight, who report trying to lose weight, or who describe themselves as overweight. In contrast, neither objective nor subjective measures of weight predict smoking initiation by males. Higher cigarette prices decrease the probability of smoking initiation among males but have no impact on female smoking initiation. These gender-specific differences may help explain the mixed and inconclusive evidence of the impact of price on smoking initiation found in previous literature.