This review provides a detailed analysis of anxiety and depression as they relate to each stage of the cigarette smoking cycle: initiation, maintenance, and cessation with an emphasis on nicotine withdrawal. An analysis of the literature confirms that cigarette smoking is highly comorbid with anxiety disorders and clinical depression, and that this relationship appears to be moderated by factors such as age of the smoker, type of disorder, and level of nicotine dependence. Studies also offer evidence to suggest a relationship between smoking and both subclinical anxiety and depression. Research findings have not revealed whether common factors influence the development of anxiety, depression, and smoking, whether anxiety and depression lead to smoking, or whether the reverse is true. Nevertheless, a current understanding of the links among smoking, anxiety, and depression confirms current prevention and cessation techniques, as well as suggests new directions for research and clinical practice.