We assessed the relationship between depression and smoking initiation among people of Mexican, Puerto Rican and Cuban ancestry residing in specific geographic areas of the United States. Survey data were examined to calculate incidence of smoking initiation and prevalences and odds ratios for ever smoking by presence of depressed mood, a history of major depression or both conditions. Depressed mood, a history of major depression or both conditions were associated with smoking initiation risks during childhood, adolescence and young adulthood. These findings suggest that the relationship between depressive states and smoking initiation is established early in life. More definitive studies are needed to confirm these findings.