This study examined 2 expectancies to explain smoking under stress: smokers' expectations about their ability to cope with stress while remaining abstinent and their expectations about the stress-ameliorating and coping benefits of smoking under stress. The interaction of the expectancies concurrently predicted smoking urge under stress, which, in turn, predicted subsequent smoking. The interaction of posttreatment expectancies prospectively predicted smoking status 3 months after treatment, although the coping benefits of smoking expectancy effect was reversed. Expectations about coping ability increased and expectations about the coping benefits of smoking decreased as a function of participating in a smoking cessation program. The discrepant concurrent and prospective findings, reasons that coping expectancies are associated with smoking under stress, and treatment implications are discussed.