We examined prospectively the association between nicotine dependence and major depression (MDD). The following questions were addressed: (1) Are smokers with a history of MDD at increased risk for progression to nicotine dependence and more severe levels of dependence? (2) Are persons with a history of nicotine dependence at increased risk for MDD? A sample of 995 young adults were interviewed in 1989 and reinterviewed in 1990, 14 months later. The revised National Institute of Mental Health-Diagnostic Interview Schedule was used to ascertain DSM-III-R nicotine dependence and other substance use and psychiatric disorders. A history of MDD increased the risk for progression to nicotine dependence or more severe levels of dependence (odds ratio, 2.06; 95% confidence interval, 1.21 to 3.49). In addition, persons with a history of nicotine dependence had a higher rate of first-incidence MDD during the follow-up period than persons with no history of nicotine dependence (7.5% vs 3.2%; odds ratio, 2.45; 95% confidence interval, 1.17 to 5.15). The prospective data suggest that the association between nicotine dependence and MDD, observed previously in cross-sectional studies, might be either causal, with influences flowing in both directions, or, more probably, noncausal, reflecting the effects of common factors that predispose to both disorders.