Smoking is frequently associated with suicidal behavior, but also with confounding other risk factors. We investigated whether smoking independently predicts suicidal ideation, attempts (SAs), or modifies risk of SAs during major depressive episodes (MDEs). In the Vantaa Depression Study (VDS), a 5-year prospective study of psychiatric patients (N?=?269) with major depressive disorder (MDD), we investigated the association of suicidal ideation and smoking, and smoking as an independent risk factor for SAs in 2-level analyses of risk during MDEs. Smoking was not significantly associated with suicidal ideation, nor SAs after controlling for confounding factors, and no evidence of a significant effect during MDEs was found. Smoking was neither significantly associated with suicidal ideation, nor predicted suicide attempts.