There is a well-established connection between smoking and depression. Depressed individuals are over-represented among smokers, and ex-smokers often experience increased depressive symptoms immediately after stopping smoking. Nicotine in tobacco binds, activates and desensitizes nicotinic acetylcholine receptors (nAChRs), but it is not known whether activation or desensitization is more important for the effects of nicotine on depressive symptoms. Here we review, based on clinical and preclinical studies of nicotinic drugs, the hypothesis that blockade (rather than activation) of neuronal nAChRs might be important for the effects of nicotinic agents on depressive symptoms. The endogenous neurotransmitter for nAChRs is acetylcholine, and the effects of nicotine on depression-like behaviors support the idea that dysregulation of the cholinergic system might contribute to the etiology of major depressive disorder. Thus, pharmacological agents that limit acetylcholine signaling through neuronal nAChRs might be promising for the development of novel antidepressant medications.