The current study assessed self-reported psychopathology in women who spontaneously quit or continued smoking after learning that they are pregnant and examined whether any potential differences remained after control for confounding variables. All participants (77 smokers and 50 spontaneous quitters) completed 3 assessments of psychological functioning prior to enrollment in either smoking cessation or relapse prevention studies. Assessments included the Brief Symptom Inventory (BSI); the Beck Depression Inventory (BDI); and the Adult Self-Report (ASR). Smokers and spontaneous quitters differed on sociodemographic and smoking characteristics. In terms of psychological functioning, smokers reported significantly more depression/anxiety symptoms and withdrawn behavior than spontaneous quitters on the BSI and the ASR. Higher depression scores on the BSI were associated with increased odds of continued smoking, even after controlling for sociodemographic and smoking variables in multivariate analyses. These results suggest that depressive symptoms may be an independent contributor to the problem of continued smoking during pregnancy, which may have implications for smoking-cessation interventions among pregnant women.