Nicotine dependence is common in people with mood disorders; however the operative pathways are not well understood. This paper reviews the contribution of inflammation and oxidative stress pathways to the co-association of depressive disorder and nicotine dependence, including increased levels of pro-inflammatory cytokines, increased acute phase proteins, decreased levels of antioxidants and increased oxidative stress. These could be some of the potential pathophysiological mechanisms involved in neuroprogression. The shared inflammatory and oxidative stress pathways by which smoking may increase the risk for development of depressive disorders are in part mediated by increased levels of pro-inflammatory cytokines, diverse neurotransmitter systems, activation the hypothalamic-pituitary-adrenal (HPA) axis, microglial activation, increased production of oxidative stress and decreased levels of antioxidants. Depressive disorder and nicotine dependence are additionally linked imbalance between neuroprotective and neurodegenerative metabolites in the kynurenine pathway that contribute to neuroprogression. These pathways provide a mechanistic framework for understanding the interaction between nicotine dependence and depressive disorder.