Smoking and major depression frequently co-occur, at least in part due to shared genetic risk. However, the nature of the shared genetic basis is poorly understood. To detect genetic risk variants for comorbid nicotine dependence (ND) and major depression (MD), we conducted genome-wide association study (GWAS) in two samples of African-American participants (Yale-Penn 1 and 2) using linear mixed model, followed by meta-analysis. 3724 nicotine-exposed subjects were analyzed: 2596 from Yale-Penn-1 and 1128 from Yale-Penn-2. Continuous measures (Fagerström Test for Nicotine Dependence (FTND) scores and DSM-IV MD criteria) rather than disorder status were used to maximize the power of the GWAS. Genotypes were ascertained using the Illumina HumanOmni1-Quad array (Yale-Penn-1 sample) or the Illumina HumanCore Exome array (Yale-Penn-2 sample), followed by imputation based on the 1000 Genomes reference panel. An intronic variant at the GRIA4 locus, rs68081839, was significantly associated with ND-MD comorbidity (β = 0.69 [95% CI, 0.43-0.89], P = 1.53 × 10-8). GRIA4 encodes an AMPA-sensitive glutamate receptor that mediates fast excitatory synaptic transmission and neuroplasticity. Conditional analyses revealed that the association was explained jointly by both traits. Enrichment analysis showed that the top risk genes and genes co-expressed with GRIA4 are enriched in cell adhesion, calcium ion binding, and synapses. They also have enriched expression in the brain and they have been implicated in the risk for other neuropsychiatric disorders. Further research is needed to determine the replicability of these findings and to identify the biological mechanisms through which genetic risk for each condition is conveyed.