Individuals with mental health problems smoke at far higher rates than their peers, and have done for decades. This paper explores a potential explanation: smoking as a means to cope with distress. The proposed “coping response” framework is assessed by analyzing how adolescents respond to two events known to trigger acute mental distress: violent crime victimization and death of a non-family member the respondent felt close to. Consistent with a coping response, these shocks yield statistically significant increases in first cigarette use, recent smoking, and daily smoking, with greater initiation responses among those who are depressed at baseline, and dampened responsiveness among those facing higher cigarette taxes. Back-of-the-envelope estimates suggest that differential responsiveness to adverse events by baseline depression explains 5% of first cigarette use in this sample, and almost a third of the gap in adolescent smoking initiation between those in the highest and lowest terciles of depression scores.Copyright © 2020 Elsevier B.V. All rights reserved.