Background: To examine the prevalence of smoking among medical faculty students in Turkey, and to explore the associations between smoking, depression, and other factors. Methods: This cross-sectional study was carried out among medical students in Konya, Turkey, from November 2018 to February 2019. The first section included eight questions pertaining to sociodemographic details. The second comprised nine questions addressing smoking and other harmful habits. The third section involved the Fagerstrom Test for Nicotine Dependence while the fourth was the Beck Depression Inventory (BDI). Results: The study was completed with a total of 1117 participants (90.2% of all students). In regard to smoking, 813 (72.78%) were non-smokers, 98 (8.77%) were ex-smokers, and 222 (19.87%) were active smokers. Notably, 16.29% of students (n = 182) had a high BDI score (≥17). Male sex, good economic status, depression diagnosis at any time in life, and alcohol use were independently associated with active smoking. Being a senior student and regular exercise were independently associated with a low (<17) BDI score, whereas depression diagnosis at any time in life and drug use were independently associated with high (≥17) BDI. Conclusions: Almost 20% of medical school students were active smokers, with about a 2.5-fold higher prevalence among males compared to females. There is a significant association between smoking frequency and symptoms of depression. Policies targeting modifiable risk factors can reduce smoking and depression among future physicians, which can have a strong impact on population-wide smoking.