Adolescence is an important period for initiation of smoking and manifestation of depression, which are often comorbid. Researchers have examined associations between depressive symptoms and smoking to elucidate whether those with increased depressive symptoms smoke more to selfmedicate, whether those who smoke experience increased subsequent depressive symptoms, or both. Collectively, there have been mixed findings; however, studies have been limited by (1) cross-sectional or short-term longitudinal data or (2) the use of methods that test associations, or only one direction in the associations, rather than a fully-reciprocal model to examine directionality. This study examined the associations between smoking and depressive symptoms in a sample of adolescent girls using latent dual change scores to model (1) the effect of smoking on change in depressive symptoms, and simultaneously (2) the effect of depressive symptoms on change in smoking across ages 11–20. Data were from a cohort-sequential prospective longitudinal study (N=262). Girls were enrolled by age cohort (11, 13, 15, and 17 years) and were primarily White (61 %) or African American (31 %). Data were restructured by age. Every 6 months, girls reported depressive symptoms and cigarette use. Results indicated that controlling for sociodemographic characteristics, higher levels of smoking predicted a greater increase in depressive symptoms across adolescence. These findings suggest that a higher level of cigarette smoking does contribute to more depressive symptoms, which has implications for prevention of depression and for intervention and future research.