Many studies have shown a relationship between smoking and depression. However, few studies have examined the association between current depression and smoking and even fewer used large cross-sectional data to support these findings. Using the 2006 Behavioral Risk Factor Surveillance System data (n=248,800), we compared rates of lifetime depression, lifetime anxiety, current depression, and current depressive symptoms among smokers who unsuccessfully attempted to quit (unsuccessful quitters), former smokers (successful quitters), and smokers who made no attempts to quit (non-quitters). Unsuccessful quitters experienced more lifetime depression and anxiety than non-quitters (OR=1.2; 95% CI, 1.0-1.4), whereas successful quitters experienced less (OR=0.7, 95% CI, 0.6-0.8). Current depression prevalence was 14.3% among non-quitters, 18.8% among unsuccessful quitters, and 8.0% among successful quitters. On average, unsuccessful quitters also experienced more days of depressive symptoms during the previous month than either non-quitters or successful quitters. Our results suggest that smokers who attempt to quit unsuccessfully may experience lifetime depression as well as current depression at a higher rate than other smokers and former smokers.