Tobacco use is highly concentrated in persons with mental illness. To assess trends in past-month prevalence of cigarette smoking among adults with vs without past-year depression, substance use disorders (SUDs), or both, using nationally representative data. Exploratory, serial, cross-sectional study based on data from 558 960 individuals aged 18 years or older who participated in the 2006-2019 US National Surveys on Drug Use and Health. Past-year major depressive episode (MDE) and SUD using Diagnostic and Statistical Manual of Mental Disorders (Fourth Edition, Text Revision) criteria. Past-month self-reported cigarette use, adjusted for sociodemographic characteristics. Of the sampled 558 960 adults, 41.4% (unweighted) were aged 18 to 25 years, 29.8% (unweighted) were aged 26 to 49 years, and 53.4% (unweighted) were women. From 2006 to 2019, the past-month self-reported cigarette smoking prevalence declined significantly among adults with MDE from 37.3% to 24.2% for an average annual percent change of -3.2 (95% CI, -3.5 to -2.8; P < .001), adults with SUD from 46.5% to 35.8% for an average annual percent change of -1.7 (95% CI, -2.8 to -0.6; P = .002), and adults with co-occurring MDE and SUD from 50.7% to 37.0% for an annual average annual percent change of -2.1 (95% CI, -3.1 to -1.2; P < .001). The prevalence declined significantly for each examined age, sex, and racial and ethnic subgroup with MDE and with SUD (all P < .05), except for no significant changes in American Indian or Alaska Native adults with MDE (P = .98) or with SUD (P = .46). Differences in prevalence of cigarette smoking between adults with vs without MDE declined significantly for adults overall from 11.5% to 6.6%, for an average annual percent change of -3.4 (95% CI, -4.1 to -2.7; P < .001); significant average annual percent change declines were also seen for men (-5.1 [95% CI, -7.2 to -2.9]; P < .001); for women (-2.7 [95% CI, -3.9 to -1.5]; P < .001); for those aged 18 through 25 years (-5.2 [95% CI, -7.6 to -2.8]; P < .001); for those aged 50 years or older (-4.7 [95% CI, -8.0 to -1.2]; P = .01); for Hispanic individuals (-4.4 [95% CI, -8.0 to -0.5]; P = .03), and for White individuals (-3.6 [95% CI, -4.5 to -2.7]; P < .001). For American Indian or Alaska Native adults, prevalence did not significantly differ between those with vs without MDE during 2006-2012 but was significantly higher for those with MDE during 2013-2019 (difference, 11.3%; 95% CI, 0.9 to 21.7; P = .04). Differences among those with vs without SUD declined for women for an average annual percent change of -1.8 (95% CI, -2.8 to -0.9; P = .001). In this exploratory, serial, cross-sectional study, there were significant reductions in the prevalence of self-reported cigarette smoking among US adults with major depressive episode, substance use disorder, or both, between 2006 and 2019. However, continued efforts are needed to reduce the prevalence further.