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Aims Although depression and smoking are highly correlated, the relationship of Major Depressive Disorder (MDD) to smoking cessation and relapse remains unclear. This study compared changes in smoking for current and former smokers with and without Current and Lifetime MDD over a three year period. Design Analysis of two waves of longitudinal data from the National Institute on Alcohol Abuse and Alcoholism’s National Epidemiologic Survey on Alcohol and Related Conditions (Wave 1, 2001–2002; Wave 2, 2004–2005). Setting Data were collected through face-to-face interviews from non-institutionalized United States civilians, 18 years and older, in 50 states and the District of Columbia. Participants 11,973 adults (46% female) classified as Current or Former Daily Smokers at Wave 1 and completed Wave 2. Measurements Classification as Current or Former Smokers at Wave 1 and Wave 2. Findings Smoking status remained stable for most participants. Wave 1 Current Daily Smokers with Current MDD (OR=1.38, 95% CI=1.03, 1.85) and Lifetime MDD (OR=1.48, 95% CI=1.18, 1.85) were more likely than those without the respective diagnosis to report continued smoking at Wave 2. Wave 1 Former Daily Smokers with Current MDD (OR=0.44, 95% CI=0.26, 0.76) were less likely to report continued abstinence at Wave 2. None of the gender by MDD diagnosis interactions were significant. Patterns of results remained similar when analyses were limited to smokers with nicotine dependence. Conclusions Current and Lifetime Major Depressive Disorder are associated with a lower likelihood of quitting smoking and Current Major Depressive Disorder is associated with greater likelihood of smoking relapse.