Cigarette smokers frequently describe the anxiolytic and antidepressant effects of smoking, but evidence suggests that cigarette smoking may itself increase negative affect, so that the causal direction of this association remains unclear. Although increasingly sophisticated analyses of epidemiological data may help to answer this question, observational data can never unequivocally provide evidence of causation. Here we discuss the potential utility of genetic information in determining the causal basis of the relationship of cigarette smoking and depression.