Epidemiologic studies have reported an association between depression and continuing smoking during pregnancy. However, differences in study design and methodology challenge study comparability. The purpose of this study was to examine the relationship between maternal depression and continuing smoking among pregnant European women while adjusting for maternal characteristics. This multinational, web-based study evaluated pregnant women in 15 European countries recruited from October 2011 to February 2012. Data on depression status, smoking habits, maternal socio-demographic characteristics, and life-style factors were collected via an anonymous online questionnaire. Associations were estimated with logistic regression. Of 4,295 women included, 1,481 (34.5 %) reported smoking before pregnancy, and 391 (26.4 %) continued smoking during pregnancy whereof 127 (32.5 %) were depressed. The association between depression and continuing smoking during pregnancy were uniform across the European countries (OR 2.02, 95 % CI 1.50-2.71), with about twice the prevalence of continuing smoking among the depressed. There was a strong relationship between continuing smoking in pregnancy and low education level (OR 4.46, 95 % CI 2.72-7.32), which coincided with risky pregnancy behavior such as failure to attend pregnancy/birth preparation courses (OR 1.80, 95 % CI 1.19-2.72) and follow recommended use of folic acid (OR 1.81, 95 % CI 1.23-2.65). Women who perceived the risk for the fetus of continued smoking during pregnancy as higher were the least likely to continue smoking during pregnancy (OR 0.72, 95 % CI 0.68-0.77). This underlines the clustering of risk in some pregnant women, and the results should guide antenatal care of depressed women struggling to quit smoking during pregnancy.