Introduction Psychosocial well-being variables from the Tennessee Intervention for Pregnant Smokers (TIPS) study, a longitudinal smoking cessation study in South-Central Appalachia, were investigated as potential predictors of smoking status. Methods A sample of 1031 pregnant women participated in an expanded 5A's (Ask, Advise, Assess, Assist, Arrange) program, from 2008 to 2011. Measures of stress, self-esteem, depressive symptoms, and disordered eating collected by interview during the first trimester, or during the third trimester in a combined interview if participants began prenatal care late, were hypothesized to differ among three groups of participants: pregnant women who never smoked, pregnant women who smoked but quit prior to birth, and pregnant women who smoked and did not quit prior to birth. Smoking status was measured throughout the study. Whether or not a participant quit smoking was assessed at delivery. Results Non-smokers were lowest in stress F (2,1027) = 46.38, p < .001) and depression ( F (2,1028) = 39.81, p < .001), and highest in self-esteem ( F (2,1018) = 29.81, p < .001). Only self-reported stress and self-reported self-esteem predicted quitting. Higher reported stress levels were related to a slightly lower likelihood of quitting (OR = 0.95, 95% CI 0.92, 0.98, p = .003) and higher reported self-esteem predicted a slightly higher likelihood of quitting (OR = 1.05, 95% CI 1.02, 1.08, p = .001). Conclusions Findings may lead to improved intervention programs and reduction of adverse health effects in children attributable to prenatal smoking. More research should be conducted on smoking cessation in rural pregnant women.