A study followed a group of teenagers who had never smoked and tracked whether they took up smoking and how their mental health changed. After one year, the incidence of depression among those who had taken up smoking was four times as high as it was among those who had not. Since nicotine in cigarettes changes brain chemistry, perhaps thereby affecting mood, it is likely that smoking contributes to depression in teenagers.
The statement 'Some participants entered and emerged from a period of depression within the year of the study' most strengthens the argument.