As a leading global disease risk factor, cigarette smoking has declined in some developed countries, but its health consequences are not well established in sub-Saharan Africa. This is particularly evident in South Africa, where few investigations have quantified the dually neglected challenges of cigarette smoking and depression, despite decades of research from developed countries. We investigated the association between cigarette smoking and incident depression, with the hypothesis that adolescents are particularly vulnerable.Panel data from the South African National Income Dynamics Study, a nationally representative sample of households at follow-up periods (years 2008–2015), were used. Our incident cohort consists of 14 118 adult participants who were depression free at baseline. The generalized estimating equation models were fitted to assess the association between current cigarette smoking and incident depression.Current cigarette smoking among individuals aged at least 15 was significantly associated with incidents of depression among men (adjusted relative risk [aRR] = 1.16, 95\\% CI = 1.01 to 1.34), but not women. When the analyses were restricted to a sample population of older adolescents (ages 15–19), current cigarettes smoking was significantly associated with incident depression in both men (aRR = 1.84, 95\\% CI = 1.18 to 2.88) and women (aRR = 2.47, 95\\% CI = 1.15 to 5.29).The results suggest an important relationship between cigarette smoking and incident depression, particularly among older adolescents, who are developmentally vulnerable and socioeconomically disadvantaged to experiencing depression. There is a considerable need to implement and prioritize culturally and developmentally appropriate prevention and cessation measures to reduce cigarette smoking and depression directed at adolescent populations.There has been little population level research into the role of smoking on depression in sub-Saharan Africa, a region classified as a tobacco epidemic in the making. Our results have major implications for the often neglected crosscutting issues of tobacco control (Sustainable Development Goal 3.9) and mental health (Sustainable Development Goal 3.4). They indicate the role of smoking on depression, with the association being particularly pronounced among adolescent who are developmentally vulnerable and socioeconomically disadvantaged, and emphasize the need to implement and prioritize prevention and cessation measures directed at this population.