Depression is heritable, differs by sex, and has environmental risk factors such as cigarette smoking. However, the effect of single nucleotide polymorphisms (SNPs) on depression through cigarette smoking and the role of sex is unclear. In order to examine the association of SNPs with depression and smoking in the UK Biobank with replication in the COPDGene study, we used counterfactual-based mediation analysis to test the indirect or mediated effect of SNPs on broad depression through the log of pack-years of cigarette smoking, adjusting for age, sex, current smoking status, and genetic ancestry (via principal components). In secondary analyses, we adjusted for age, sex, current smoking status, genetic ancestry (via principal components), income, education, and living status (urban vs. rural). In addition, we examined sex-stratified mediation models and sex-moderated mediation models. For both analyses, we adjusted for age, current smoking status, and genetic ancestry (via principal components). In the UK Biobank, rs6424532 [] had a statistically significant indirect effect on broad depression through the log of pack-years of cigarette smoking ( = 4.0 × 10) among all participants and a marginally significant indirect effect among females ( = 0.02) and males ( = 4.0 × 10). Moreover, rs10501696 [] had a marginally significant indirect effect on broad depression through the log of pack-years of cigarette smoking ( = 0.01) among all participants and a significant indirect effect among females ( = 2.2 × 10). In the secondary analyses, the sex-moderated indirect effect was marginally significant for rs10501696 [] on broad depression through the log of pack-years of cigarette smoking ( = 0.01). In the COPDGene study, the effect of an SNP (rs10501696) in on depressive symptoms and medication was mediated by log of pack-years ( = 0.02); however, no SNPs had a sex-moderated mediated effect on depressive symptoms. In the UK Biobank, we found SNPs in two genes [, ] with an indirect effect on broad depression through the log of pack-years of cigarette smoking. In addition, the indirect effect for on broad depression through smoking may be moderated by sex. These results suggest that genetic regions associated with broad depression may be mediated by cigarette smoking and this relationship may be moderated by sex.