Among 1566 personally evaluated female twins from a population-based register, average lifetime daily cigarette consumption was strongly related to lifetime prevalence and to prospectively assessed 1-year prevalence of major depression (MD). Using the cotwin control method, we evaluated whether the association between smoking and lifetime MD was causal or noncausal. While the relative risk (95% confidence interval) for ever smoking given a lifetime history of MD was 1.48 (1.30 to 1.65) in the entire sample, it was 1.18 (0.88 to 1.47) and 0.98 (0.71 to 1.26), respectively, in dizygotic and monozygotic twin pairs discordant for a history of MD. The relative risk for a history of MD given ever smoking was 1.60 (1.39 to 1.83) in the entire sample, while in dizygotic and monozygotic twins discordant for smoking, it was 1.29 (0.87 to 1.74) and 0.96 (0.59 to 1.42), respectively. Controlling for personal smoking history, family history of smoking predicted risk for MD; controlling for the personal history of MD, family history of MD predicted smoking. The best-fitting bivariate twin model suggested that the relationship between lifetime smoking and lifetime MD resulted solely from genes that predispose to both conditions. These results suggest that the association between smoking and MD in women is not a causal one but arises largely from familial factors, which are probably genetic, that predispose to both smoking and MD.