Stress and self-esteem have been shown to be important risk factors for adolescent cigarette smoking, and self-esteem has previously been implicated as a stress-moderating and a stress-mediating variable. This study aimed to examine the associations between stress, area-specific self-esteem, and adolescent smoking, and to investigate whether specific areas of self-esteem moderate or mediate the relationship between stress and smoking. Four hundred and ninety-five adolescents (aged 14–19) responded to a questionnaire that examined these variables. Results showed that self-esteem in the areas of school subjects and parent relations were related to smoking. Adolescents with low self-esteem in these areas were more likely to smoke than their high self-esteem counterparts. Highly stressed adolescents were more likely to smoke than those with low stress. However, the relationship between stress and smoking was completely mediated by self-esteem in the area of school subjects. No moderation was revealed. Thus, high global self-esteem may not be sufficient to reduce the risk of smoking. To maximise benefit, prevention and intervention efforts should target self-esteem in the areas of school subjects and parent relations. Initiatives focusing on stress are only likely to decrease smoking to the extent that they influence self-esteem in the area of school subjects.