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Background While the association between smoking and depressive symptoms has been studied quite extensively, only little is known whether the association changes and how the trajectories of smoking and depressive symptoms are intertwined during the life course. In this population-based study, we examined these associations from young adulthood to middle age. Methods Participants of a Finnish cohort study (N = 1955) were addressed at ages 22, 32, 42 and 52 using postal questionnaires including questions of daily smoking and depressive symptoms (the short 13-item Beck Depression Inventory). Linear and logistic regression analyses and longitudinal latent class and profile analyses were used. Results The percentages of daily smokers decreased, while levels of depressive symptoms increased among both women and men from age 22 to 52 years. Daily smoking was associated with higher levels of depressive symptoms between ages 22 and 42, while not at age 52. Associations among men prevailed also in the adjusted models. Four life course trajectories of daily smoking (non-smokers, quitters, persistent smokers, and late starters) and four depressive symptoms (low, increasing/moderate, decreasing/moderate, and high) were identified. In the adjusted models, persistent daily smokers and late starters had significantly higher risk of belonging to the high depressive symptoms profile in men, but not in women. Conclusions Compared to women the associations between daily smoking and depressive symptoms seem more robust among men during adulthood. Especially those men smoking persistently from young adulthood to middle age have an increased risk of high depressive symptoms trajectory during the life course.