This study examined the adherence rates and the effect of depression on adherence in two studies conducted among smokers with a past history of alcoholism. In both studies, subjects participated in a 12-session group-based exercise intervention for smoking cessation. The target quit date (TQD) was Session 8. Participants in Study 1 were 73 smokers (43% female). Exercise instructions began at Session 8 and continued through Session 12. Mean frequency and number of minutes of exercise decreased during the 4 weeks of exercise treatment (P<.001). Study 2, conducted with 18 smokers (50% female), examined the feasibility of commencing exercise at Session 1, well before the TQD. The mean number of minutes exercised increased from Sessions 1 to 12 (P=.013). In both studies, average session attendance was high (82%). Combining subjects from both studies, depressed smokers at baseline reported greater mean frequency of exercise per week than nondepressed smokers (P=.05). The results suggest that depressed smokers can be engaged in an exercise program. Further research is needed to determine if commencing exercise early during treatment, prior to the TQD, improves adherence.