Objective and Participants: The authors examined (1) the relationship between depressive symptoms and cigarette smoking in a college sample and (2) the role of smoking self-efficacy (one's perceived ability to abstain from smoking) in explaining the relationship between depressive symptoms and cigarette smoking. Methods: Predominantly first-year college students at a large public university completed a self-report inventory indexing depressive symptoms, cigarette smoking, and smoking self-efficacy. Results: Findings indicated that students high in depressive symptoms smoked significantly more cigarettes per day than did those with low depressive symptoms. Further, among current smokers, smoking self-efficacy explained the relationship between depressive symptoms and cigarette smoking. Conclusions: These findings add to accumulating evidence that depressive symptoms are a risk factor for increased cigarette smoking in college students. The authors discuss implications for university-based smoking cessation and prevention programs. (Contains 2 tables.)