The study found nicotine-dependent people were more than twice as likely to have symptoms of depression as those who did not smoke.
Researchers from the university's Christchurch Health and Development Study asked more than 1000 people about their smoking habits and symptoms of depression at ages 18, 21 and 25.
Lead researcher David Fergusson said statistical analysis of the results found smoking increased the risk of developing depressive symptoms.
The findings differed from a number of previous studies that found a causal link from depression to smoking, rather than smoking to depression.
"Our findings are consistent with the conclusion that there is a cause and effect relationship between smoking and depression, in which cigarette smoking increases the risk of developing symptoms of depression," Professor Fergusson said.
"The reasons for this relationship are not clear. However, it's possible that nicotine causes changes to neurotransmitter activity in the brain, leading to an increased risk of depression."
Prof Fergusson emphasised that the findings did not prove smoking caused depression.
The study was funded by the Health Research Council.