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.
Participants who were depressed at the start of the study were no more likely to be smokers after one year than those who were not depressed most strengthens the argument.