Previous reports suggest that offspring of mothers who smoke during pregnancy have greater risk of developing depression. However, it is unclear whether this is due to intrauterine effects. Using data from the Avon Longitudinal Study of Parents and Children (ALSPAC) from the UK (N = 2,869), the Nord-Trøndelag health study (HUNT) from Norway (N = 15,493), the Pelotas 1982 Birth Cohort Study from Brazil (N = 2,626), and the Swedish Sibling Health Cohort (N = 258 sibling pairs), we compared associations of maternal smoking during pregnancy and mother's partner's smoking during pregnancy with offspring depression and performed a discordant sibling analysis. In meta-analysis, maternal smoking during pregnancy was associated with higher odds of offspring depression (OR 1.20, 95% CI:1.08,1.34), but mother's partner's smoking during pregnancy was not (OR 1.05, 95% CI:0.94,1.17). However, there was only weak statistical evidence that the odds ratios for maternal and mother's partner's smoking differed from each other (p = 0.08). There was no clear evidence for an association between maternal smoking during pregnancy and offspring depression in the sibling analysis. Findings do not provide strong support for a causal role of maternal smoking during pregnancy in offspring depression, rather observed associations may reflect residual confounding relating to characteristics of parents who smoke.