The researchers tracked healthy women for more than a decade, giving them a psychiatric assessment at the end.
"It was at this point we were able to determine if depression had developed and investigate whether or not smoking pre-dated the onset of depression," the Sydney Morning Herald quoted study leader Professor Julie Pasco as saying.
Another study involving 671 healthy women found that 15 per cent of smokers went on to develop depression, compared to 6.5 per cent of non smokers.
"This shows us that non smokers were at lower risk for developing major depressive disorder, suggesting that smoking may play a role in the development of the disease in women," said Pasco.
Anne Jones, chief executive of anti-smoking group Action on Smoking and Health also said that the results make it evident that the effects of smoking extended beyond physical ills like cancer and heart disease.
"This is a very serious finding and yet another good reason to renew efforts to get Australians to give it up," she said.
"We've got a blow-out in mental illness in Australia and here we've got a cause of mental illness that is being sold in every petrol station and corner store in the country," she added.