Smoking prevalence is unevenly distributed in the U.S. population, with those with mental illness, other substance use disorders, and lower socioeconomic status being especially vulnerable. Less research has been conducted on the association between these same vulnerabilities and smokeless tobacco (ST) use. The present study examined cigarette and ST use among adolescents and adults who met diagnostic criteria for major depressive disorder in the National Survey on Drug Use and Health (NSDUH). Utilizing the most recent (2011) NSDUH, we compared odds for current cigarette smoking and ST use among adolescents and adults meeting criteria for past-year major depressive disorder to the general population, after adjusting for potential confounding influences of sociodemographic and other substance use characteristics. Analyses were conducted to examine sex as a moderator of the relation between major depressive disorder and tobacco use. Odds for current cigarette smoking among those classified with major depressive disorder were increased among adolescents (OR = 1.33, 95% CI [1.05, 1.69], p = .021) and adults (OR = 1.70, 95% CI [1.47, 1.97], p < .0005), and odds for current ST use did not differ among adolescents (OR = 0.90, 95% CI [0.54, 1.49], p = .678) and were lower among adults (OR = 0.68, 95% CI [0.51, 0.91], p = .010). Sex was not a significant moderator in adolescents or adults. Major depressive disorder is associated with increased risk for smoking but not ST use among adolescents and adults further demonstrating heterogeneity in predictors of vulnerability to use of different tobacco products.