<p>The alarming trend of increasing smoking prevalence among women calls for research on the factors and mechanisms that influence smoking behavior among women. Both perceived stress and depression are associated with smoking behavior. This study aimed to extend previous research by combining a large-sample cross-sectional design (Study 1; <i>n</i> = 1039) with a daily diary method (Study 2; <i>n</i> = 27) to examine whether depression is a potential mediator of perceived stress in influencing women’s smoking behavior at both the between- and within-person levels. In the daily diary study, participants were invited to complete daily diaries for 15 consecutive days measuring daily perceived stress, daily depression, and daily smoking. In Study 1, results of mediation analyses indicated that depression mediated the relationship between perceived stress and smoking behavior at the between-person level. 1–1-1 multilevel mediation analyses in Study 2 showed that daily perceived stress positively predicted daily smoking by increasing daily depression at both the within-person and between-person levels. These findings imply that both long-term and short-term interventions aimed at relieving women’ stress or depression are beneficial in reducing smoking behaviors and promoting smoking cessation.</p>