It's not just depression, it's mental illness overall. I have not verified the data source, but I've read more than once that in the US, 75% of diagnosed seriously mentally ill (bipolar, etc.) people smoke and that 40% of cigarettes are purchased by the seriously mentally ill.
And Glantz is fantasizing (again) about quitting smoking making MH treatment easier.
Oh, I don't agree that there is causation, btw.