Many clinicians and scientists believe smoking cessation increases the risk of major depressive disorder (MDD), especially among those with a past history of the disorder. This literature review located seven empirical tests of this belief. All seven had significant methodological limitations. The incidence of MDD over 7-64 weeks postcessation was 0%-14% among all smokers who tried to stop, 3%-24% among smokers with a past history of MDD who tried to stop, and 1%-31% among smokers who became abstinent. Smokers with a past history of MDD were more likely to have postcessation MDD. Although some within-study comparisons suggest abstinence increased the incidence of MDD, a definitive conclusion cannot be made. Whether treatment with antidepressants prevented postcessation MDD also was unclear. This review makes methodological recommendations for more definitive studies.