Abstract—This systematic review aims at reviewing the existing literature on the connection between psychological distress and adolescent smoking behaviour and the processes through which this connection occurs. Smoking is a global health issue that has attracted much attention especially among the youth, and has been associated with stress, anxiety, and depression among others. According to the “coping response” theory, smoking helps to reduce negative affect and thus rates of smoking initiation have been found to rise after adverse events (Friedman, 2020). Further, intolerance of parental distress has been related to increased adolescent smoking, with the adolescent’s coping motives as the intermediate variable (Bilsky et al., 2019). This review also considers the prospective studies that also indicated that smoking and depressive symptoms are bidirectional because of genes and environment (Ranjit et al., 2019).