Over the years a number of studies have linked cigarette smoking with depression. It could be that a common factor lies behind both, that people smoke to cheer themselves up or that cigarettes themselves cause depression. Researchers from the University of Otago in New Zealand looked into this topic using data from the Christchurch Health and Development Study which has been following 1,265 people since their birth in 1977. The participants were asked about their mood and their smoking habits at 18, 21 and 25. The researchers found significant links between being addicted to nicotine and depression with the 'best-fitting causal model' being one in which it was smoking that led to an increased risk of depression rather than vice versa.
Boden, Joseph M., Fergusson, David M. and Horwood, L. John - Cigarette smoking and depression: tests of causal linkages using a longitudinal birth cohort British Journal of Psychiatry June 2010, 196(6), 440-446