Objective: High negative affect, low positive affect, and low cognitive functioning are depression-related states that may be particularly relevant to females who smoke cigarettes and may be more prominent following overnight tobacco abstinence. This study aimed to assess relations between depression symptom levels and negative affect, positive affect, and subjective cognitive functioning in premenopausal females who smoke. Methods: Premenopausal females who smoke daily with low (n = 66) or elevated (n = 33) baseline depression symptoms completed subjective ratings of negative affect, positive affect, and cognitive functioning pre-first cigarette (i.e., after overnight tobacco abstinence) and at random prompts throughout the day via ecological momentary assessment (EMA) for 35 days. Results: Participants with elevated depression symptoms reported overall higher negative affect (p = .01). Positive affect was significantly lower prior to the first cigarette of the day (p < .001), but did not significantly differ between depression symptom groups. Subjective cognitive functioning was significantly lower pre-first cigarette of the day (p < .001). There was a significant Depression Symptom × Prompt Type interaction for subjective cognitive functioning (p = .01). Subjective cognitive functioning did not significantly differ by depression symptom group pre-first cigarette of the day but was significantly different at random prompts throughout the day. Conclusions: As participants smoked as usual, findings identify naturalistic factors which may influence smoking behavior among premenopausal females who smoke with elevated depression symptoms. (PsycInfo Database Record (c) 2022 APA, all rights reserved).