Cognitive behavior therapy for depression has been adapted for use in cigarette smoking cessation groups. CBT appears to be an effective treatment, though results are mixed as to whether it is especially helpful for smokers vulnerable to depression, and little is known about what mediates its effects. Based on the hypothesis that CBT works by way of teaching compensatory skills for coping with negative thinking and emotions, this study compared CBT with a time-matched comparison condition incorporating health education and scheduled, reduced smoking. There was a nonsignificant trend favoring CBT in achieving abstinence, but CBT did not enhance smokers' compensatory coping skills. Discussion focuses on the need to examine a wide range of possible mediating variables in future research on CBT for smoking cessation.