We investigated genetic and environmental correlations and gene by environment interactions (GxE) between depressive symptoms measured by the Beck Depression Inventory (BDI) and quantity smoked measured by number of cigarettes smoked per day (CPD) using quantitative genetic modeling. The population-based sample consisted of 12,063 twin individuals from the Finnish Twin Cohort Study. Bivariate Cholesky decomposition revealed that the phenotypic correlation (r = 0.09) between BDI and CPD was explained by shared genetic (r g = 0.18) and environmental (r e = 0.08) factors. GxE models incorporating moderator effects were built by using CPD as trait and BDI as moderator and vice versa. The importance of the genetic variance component increased with increasing moderator value in both models. Thus, the influence of genetic effects on variance of smoking quantity was enhanced in individuals with elevated depression score and vice versa; the genetic effects on depression variance were potentiated among heavy smokers. In conclusion, shared genetic and environmental factors as well as GxE underlie the association of smoking with depression.