Abstract Background Many previous studies did not sufficiently control for several confounding factors that may affect the association between smoking and depression, such as socioeconomic status. We investigated the association between depression and smoking status, smoking exposure, duration of smoking cessation, and age of starting smoking while controlling for socioeconomic factors. Methods This study was based on a community health survey performed in Jeollanam-do, South Korea, between September and November 2009. In total, 20,084 subjects (9,118 males and 10,966 females) were included in the analysis. Information on smoking characteristics, such as smoking status, pack-years of smoking, and age of starting smoking, was collected using a standardized questionnaire. Depression was defined using the Korean CES-D score. Results The odds ratios (ORs) of depression were 1.35 (0.92–1.98) for former smokers and 1.77 (1.27–2.48) for current-smokers among males, and 2.67 (1.38–5.16) for former smokers and 3.72 (2.11–6.54) for current-smokers among females, after adjusting for other confounding factors. Compared to light smoking, heavy smoking was significantly associated with depression in males [OR = 3.97, 95% confidence interval (CI) = 1.42–11.14], but not in females (OR = 1.24, 95% CI = 0.73–2.09). No significant associations between depression and age of starting smoking and duration of smoking cessation were observed among former smokers. Conclusions Our data demonstrate that smoking is strongly associated with depression, particularly among females. These findings suggest that depression prevention may need to be combined with smoking prevention and that different strategies may be needed for males and females.