The public health significance of adolescent smoking and depression has been established, and the co-morbidity has been documented. However, the directionality of the relationship, mediating mechanisms, moderated effects, and the developmental heterogeneity between depression and smoking among adolescents are either unclear or have not been studied. Potential answers and future research needed to address four important questions are highlighted. One, what is the nature of the relationship between smoking and depression? Directionality has implications for distinct etiological and prevention intervention implications. Two, why is depression linked to smoking acquisition, and why does smoking contribute to the development of depression? Information regarding common and unique mechanisms by directional path will pinpoint intervention targets. Three, what modifies the impact of depression on smoking, and what modifies the impact of smoking on depression? This will provide critical information on who to target for an intervention. Four, how do we best capture co-morbidity between depression and smoking? When, how, and for whom is it established? We posit that co-morbidity should be considered within the longitudinal course of each co-occurring behavior. Identifying and characterizing conjoint developmental trajectories may optimize intervention type, timing, target, and content.