Objectives: The objective of this study was to analyze the causal relationship between smoking and depression using longitudinal data. Methods: Two waves of the Korea Welfare Panel collected in 2006 and 2007 were used. The sample consisted of 14 426 in 2006 and 13 052 in 2007 who were aged 20 and older. Smoking was measured by smoking amount (none/<half pack a day / < one pack a day / < two packs a day / $geq$ two packs). Depression was defined when the summated CESD (center for epidemiological studies depression)-11 score was greater than or equal to 16. The causal relationship between smoking and depression was tested using logistic regression. In order to test the causal effect of smoking on depression, depression at year 2 was regressed on smoking status at year 1 only using the sample without depression at year 1. Likewise, smoking status at year 2 was regressed on depression at year 1 only using those who were not smoking at year 1 in order to test the causal effect of depression on smoking. The statistical package used was Stata 10.0. Sampling weights were applied to obtain the population estimation. Results: The logistic regression testing for the causal relationship between smoking and depression showed that smoking at year 1 was significantly related to depression at year 2. Smoking amounts associated with depression were different among age groups. On the other hand, the results from the logistic regression testing for the opposite direction of the relationship between smoking and depression found no significant association regardless of age group. Conclusions: The study results showed some evidence that smoking caused depression but not the other way around.