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History of major depression is increasingly being measured in smoking cessation trials using brief screening scales, typically only 1–2 items, despite that their validity has not been fully established. The aim of this study was to evaluate the positive predictive value (PPV) of a 4-item screening scale of lifetime major depressive episode (MDE). Current (n = 475), former (n = 401), and never (n = 646) smokers were asked about a history of depressed mood and anhedonia lasting several days or longer. Endorsers of either depressed mood or anhedonia were then asked about whether the symptom(s) lasted most of the day nearly every day for two weeks or longer. Symptom endorsers, regardless of symptom duration, were administered the depression module of the Composite International Diagnostic Interview. Eight hundred and thirty-five (54.9%) participants had no history of either screening symptom, 296 (20.9%) had a history of depressed mood and/or anhedonia < 2 weeks, and 369 (24.2%) had a history of depressed mood and/or anhedonia ≥ 2 weeks. PPV of depressed mood and/or anhedonia ≥ 2 weeks was high (84.8%) for detecting lifetime MDE, as compared to only 23.9% for symptom(s) <2 weeks. PPV did not vary by either smoking status or gender. This 4-item screening scale has high predictive value in detecting lifetime MDE. Smoking cessation trials that do not require a history of depressed mood and/or anhedonia for two weeks or longer may overestimate rates of lifetime MDE and confound tests of the association between depression and treatment outcome.