It has been suggested that one of the mechanisms linking depression with elevated mortality risk is the association between depressive symptoms and other established coronary artery disease (CAD) risk factors, such as smoking and failure to exercise. The present study examined this hypothesis using repeated assessments of smoking and exercise from patients with CAD in whom depressive symptoms had been shown to predict decreased survival. Initially, associations between depressive symptoms and the risk factors of smoking and sedentary behavior were assessed. Next, patterns of smoking and sedentary behavior were examined as mediators and/or moderators of the association between depressive symptoms and mortality. Depressive symptoms were positively related to smoking (p <0.01) and sedentary behavior (p <0.01). Depressive symptoms, smoking, and sedentary behavior were independent predictors of mortality. Results indicated that smoking and/or sedentary behavior may partially mediate the relation between depressive symptoms and mortality. No evidence for moderation was found.