Sex differences in rates of depression are thought to contribute to sex differences in smoking initiation (SI) and number of cigarettes smoked per day (CPD). One hypothesis is that women smoke as a strategy to cope with anxiety and depression, and have difficulty quitting because of concomitant changes in hypothalamic-pituitary-adrenocortical (HPA) axis function during nicotine withdrawal states. Despite evidence of biological ties, research has not examined whether genetic factors that contribute to depression-smoking comorbidity differ by sex. We utilized two statistical aggregation techniques-polygenic scores (PGSs) and sequence kernel association testing-to assess the degree of pleiotropy between these behaviors and moderation by sex in the Health and Retirement Study (N = 8,086). At the genome-wide level, we observed associations between PGSs for depressive symptoms and SI, and measured SI and depressive symptoms (all p < .01). At the gene level, we found evidence of pleiotropy in FKBP5 for SI (p = .028), and sex-specific pleiotropy in females in NR3C2 (p = .030) and CHRNA5 (p = .025) for SI and CPD, respectively. Results suggest bidirectional associations between depression and smoking may be partially accounted for by shared genetic factors, and genetic variation in genes related to HPA-axis functioning and nicotine dependence may contribute to sex differences in SI and CPD.