Depression is a common, costly, and debilitating condition, particularly in rural areas. One of the factors commonly linked to depression is low socioeconomic status (SES). The primary aim of our study was to test a model of the relationship between SES and depression in a sample of women from Appalachia, Ohio. Approximately one third of the sample was depressed. The association between SES and depression varied by smoking status; adjusted odds were nearly eight times higher for smokers with low versus high SES, OR 8.0; 95% CI [2.6, 24.6]. Women who had insurance other than private insurance and those who were not satisfied with their current financial situation had close to twice the odds of an increased depression score. Findings suggested a strong relationship between low SES and depression, particularly among female smokers. A concerted research effort focused on community-based, cost-effective interventions to reduce depression in this region is warranted.