Smoking and depression are related, and mood management interventions included in smoking cessation interventions can increase smoking abstinence rates. Could a mood management intervention embedded in an Internet-based smoking cessation intervention prevent major depressive episodes? Spanish- and English-speaking smokers (N = 17,430) from 191 countries were randomized to one of four online self-help intervention conditions (two with mood management). We analyzed preventive effects among those participants without a major depressive episode at baseline. The mood management intervention did not reduce the incidence of major depressive episodes in the following 12 months. However, we found a mood management by depression risk interaction (OR = 1.77, p = .004), such that high-risk participants who received the mood management intervention had an increased occurrence of major depressive episodes (32.8% vs. 26.6%), but not low-risk participants (11.6% vs. 10.8%). Further research on whether mood management interventions may have deleterious effects on subsets of smokers appears warranted.