The major objective of this study was to investigate how smoking behavior mediates the relationship between life stress and depressive symptoms in adolescents. A descriptive correlational study was conducted from February to June 2017 at a vocational high school in northern Taiwan, and 226 students were recruited through convenience sampling. Results indicated that smoking behavior played a pivotal role by partially mediating the relationship between life stress and depressive symptoms in adolescents. Life stress in adolescents significantly increased the risk of experiencing depressive symptoms, and adolescents who smoked were also at a greater risk. Assessments between the objective and self-reported smoking behavior were significantly correlated. Therefore, integrated methods for assessing life stress, smoking behavior, and depressive symptoms in adolescents are needed for teachers and clinical professionals. Implementing appropriate policies for discouraging tobacco use for adolescents experiencing life stress in order to decrease depressive symptoms in school settings is paramount.