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The factors predicting smoking abstinence in depressive smokers, and the role of physical activity in precessation, were investigated. One hundred thirty-three smokers with current major depressive disorders (score ≥10 on the Depression subscale of Hospital Anxiety and Depression Scale) were recruited from a large prospective cohort of smokers (n = 1,119). Over a maximum period of 3 years, regression modeling, adjusted for potential confounders, showed that physical activity was associated with relapse (relapse rate = 0.54, 95% confidence interval = 0.34–0.85, p = .008). Also, antidepressants, anxiolytics, level of education, and number of attempts to quit were associated with relapse. The protective role of physical activity on relapse rate could be a modifiable factor in smoking cessation for smokers with depressive disorders. (Am J Addict 2012;00:1–8)