A relationship between cigarette smoking and major depressive disorder was suggested in previous work involving nonrandomly selected samples. We conducted a test of this association, employing population-based data (n = 3213) collected between 1980 and 1983 in the St Louis Epidemiologic Catchment Area Survey of the National Institute of Mental Health. A history of regular smoking was observed more frequently among individuals who had experienced major depressive disorder at some time in their lives than among individuals who had never experienced major depression or among individuals with no psychiatric diagnosis. Smokers with major depression were also less successful at their attempts to quit than were either of the comparison groups. Gender differences in rates of smoking and of smoking cessation observed in the larger population were not evident among the depressed group. Furthermore, the association between cigarette smoking and major depression was not ubiquitous across all psychiatric diagnoses. Other data are cited indicating that when individuals with a history of depression stop smoking, depressive symptoms and, in some cases, serious major depression may ensue.