The purpose of this study is to test the effect of a moderate-intensity aerobic exercise intervention for helping individuals with elevated depressive symptoms to quit smoking. The investigators expect that this project will contribute much needed knowledge about the role that aerobic exercise can play in smoking cessation. The long-term goal of this program of research is to disseminate an effective, aerobic exercise (AE) intervention for smoking cessation that can be readily adopted by smokers with elevated depressive symptoms, including those with current major depressive disorder (MDD).

Inclusion Criteria:

1. are between 18 and 65 years of age
2. are current smokers (i.e., smoking at least 10 cigarettes per day)
3. have currently elevated depressive symptoms (CES-D ≥ 6)
4. are sedentary, i.e., have not participated regularly in aerobic exercise (for at least 90 minutes per week during the past three months)

Exclusion Criteria:

1. DSM-IV diagnosis of current mania
2. DSM-IV diagnosis of bipolar rapid cycling
3. lifetime history of psychotic disorder or DSM-IV diagnosis of current psychotic symptoms
4. DSM-IV diagnosis of current substance abuse or dependence in the past 6 months
5. DSM-IV diagnosis of anorexia or bulimia nervosa
6. current suicidality or homicidality
7. marked organic impairment
8. current use of antidepressant medication for less than 3 months or change in antidepressant medication or dosage in the past 3 months,
9. physical disabilities or medical problems that would prevent or hinder participation in a program of moderate intensity exercise (i.e., physician denied medical clearance)
10. current pregnancy or intent to become pregnant during the next 12 weeks
11. contraindications for use of the nicotine patch (e.g., pregnancy, recent myocardial infarction, arrhythmia, angina, untreated hypertension, untreated diabetes, and previous adverse reaction to the patch)
12. current illness or medications that may alter proposed inflammatory markers (e.g., acute infection, immune disorders, aspirin)
13. current use of any pharmacotherapy or other treatment for smoking cessation.