Smoking and depression are significant public health problems with multiple etiological dimensions and outcomes. Although each condition is important by itself, they are important because they often potentiate each other. Consequently, it is also essential to understand the nature their relationship. This representative review focuses on the genetic etiology of the relationship in the context of reviewing first the epidemiology of depression and smoking, and then by exploring behavioral and molecular genetic studies, and other psychiatric and medical comorbidities. At this point, epidemiological evidence for a relationship between depression and smoking/nicotine dependence is compelling. Although behavioral genetic results differ somewhat by gender and in accordance with specific definitions of depression and smoking variables, recent studies show converging evidence for common genetic factors underlying the relationship, often in addition to non-shared environmental factors. The search for underlying genes and genetic mechanisms is at an early stage, but shows promising candidate genes and genetic approaches for future studies.