Research on the comorbidity between cigarette smoking and major depression has not elucidated the pathways by which smoking is associated with depression. To examine the causal relationships between smoking and depression via fixed-effects regression and structural equation modelling. Data were gathered on nicotine-dependence symptoms and depressive symptoms in early adulthood using a birth cohort of over 1000 individuals. Adjustment for confounding factors revealed persistent significant (P<0.05) associations between nicotine-dependence symptoms and depressive symptoms. Structural equation modelling suggested that the best-fitting causal model was one in which nicotine dependence led to increased risk of depression. The findings suggest that the comorbidity between smoking and depression arises from two routes; the first involving common or correlated risk factors and the second a direct path in which smoking increases the risk of depression. This evidence is consistent with the conclusion that there is a cause and effect relationship between smoking and depression in which cigarette smoking increases the risk of symptoms of depression.