Data from multiple studies suggest that depression plays a role in cigarette smoking. To obtain a national perspective on the role of depression in the dynamics of smoking, we analyzed data from the first National Health and Nutrition Examination Survey and the National Health and Nutrition Examination Survey Epidemiologic Follow-up Study. We used the Center for Epidemiologic Studies Depression Scale to assess symptoms of depression and used the standard cutoff (score, ≥16) for defining persons as depressed. The cross-sectional analysis of the first National Health and Nutrition Examination Survey showed that the prevalence of current smokers increased as the Center for Epidemiologic Studies Depression Scale score increased, whereas the quit ratio (former smokers/ever smokers) decreased as the Center for Epidemiologic Studies Depression Scale score increased. Among the cohort of smokers in the National Health and Nutrition Examination Survey Epidemiologic Follow-up Study, the estimated incidence of quitting after 9 years of follow-up was 9.9% for depressed smokers and 17.7% for nondepressed smokers. When we adjusted for amount smoked, sex, age, and educational attainment by means of a Cox proportional hazards model, we found that depressed smokers were 40% less likely to have quit compared with nondepressed smokers (relative risk, 0.6). These findings suggest that depression plays an important role in the dynamics of cigarette smoking in the United States.