Identifying factors that influence adolescents' decisions to start smoking is necessary to improve interventions for reducing tobacco use. The current longitudinal study was designed to determine the direction of influence between feelings of invulnerability to harm and cigarette smoking, and to test whether the perceived risks and benefits of smoking mediate the relationship between invulnerability and smoking. Participants were 228 adolescents (57% female; X-bar = 14 years) recruited from 9th grade classrooms, who completed questionnaires during class every 6 months through the end of 10th grade. Invulnerability predicted smoking behavior, but not vice versa. These effects became non-significant after controlling for friends' smoking behavior. Perceived benefits of smoking, but not perceived risks, mediated the relationship between invulnerability and smoking behavior (ab = 0.03, 95% confidence interval [CI] = [0.004, 0.078]). Adolescents who feel invulnerable to physical danger may be more likely to smoke in part because they perceive more benefits associated with smoking.