The aim of this study was to assess the association between cigarette smoking and health-related quality of life (HRQoL) among students in two different universities, and the potential mediating effect of depression. Participants were students who came for mandatory check-ups at Student Health Care Centers in two Universities in Serbia, differing by socio-politically and economically environments. Students completed socio-demographic questionnaire, Beck Depression Inventory (BDI) and the SF-36 questionnaire for assessment of HRQoL. In both populations, after adjustment for socio-demographic, behavioral and health factors, smoking was associated with poorer Mental Composite Score (MCS) and Physical Composite Score (PCS) (Belgrade 1,624 students: MCS β = 3.38, 95% confidence interval [CI] 1.31, 5.44, PCS β = 1.01, 95% CI -0.50, 2.52; Kosovska Mitrovica 514 students: MCS β = 5.06, 95% CI 1.74, 8.37, PCS β = 3.29, 95% CI 0.75, 5.83). After additional adjustment for BDI score, the observed associations were lost (Belgrade: MCS β = 1.12, 95% CI -0.57, 2.80, PCS β = -0.40, 95% CI -1.71, 0.92; Kosovska Mitrovica: MCS β = 0.77, 95% CI -2.06, 3.60, PCS β = 0.56, 95% CI -1.75, 2.87). Higher BDI score was associated with poorer PCS and MCS across all quintiles. The association of smoking with impairment of HRQoL among university students in two different settings was mediated by higher levels of depressive symptoms. These findings highlight the need for further research on the interaction between smoking, mental health and quality of life, with implications for prevention, diagnosis and treatment.