Perceived stress and depressive symptoms were examined as correlates and predictors of smoking cessation during pregnancy in a sample of 819 pregnant smokers (454 baseline smokers and 365 baseline quitters). Women who quit early in pregnancy had lower levels of stress and depressive symptoms than baseline smokers. Adjusting for level of addiction and other demographic factors related to stress and depressive symptoms eliminated the significant association between depressive symptoms and smoking cessation. Lower levels of stress and depressive symptoms were not predictive of cessation in later pregnancy. Prenatal healthcare providers should continue to assess level of addiction and provide targeted intensive cessation interventions. Interventions that reduce stress and depression may also be of benefit to women who are continuing smokers in early pregnancy.