A new study seems to have answered the question: does smoking cause depression or does depression lead to smoking?
Researchers looked at a group of initially happy teenagers and found that smoking was a strong predictor of who would become depressed in the following year.
The researchers then looked at another group of individuals, all non smokers suffering from depression, and found that being depressed did not predict heavy smoking. So, it looks like smoking comes before depression (Pediatrics, 2000; 106: 748-55).