Depression is a common side-effect of smoking marijuana.  The evidence of a cause-effect relationship is very solid.  

Marijuana Causes Depression, Not the Reverse in Prospective Study: 1,920 in the 1980 Baltimore Epidemiologic Catchment Area study who were reassessed between 1994 and 1996 as part of a follow-up study provided the data. The analysis focused on two cohorts: those who reported no depressive symptoms at baseline (N=849) and those with no diagnosis of cannabis abuse at baseline (N=1,837). Symptoms of depression, cannabis abuse, and other psychiatric disorders were assessed with the Diagnostic Interview Schedule. RESULTS: In participants with no baseline depressive symptoms, those with a diagnosis of cannabis abuse at baseline were four times more likely than those with no cannabis abuse diagnosis to have depressive symptoms at the follow-up assessment, after adjusting for age, gender, antisocial symptoms, and other baseline covariates. In particular, these participants were more likely to have experienced suicidal ideation and anhedonia during the follow-up period. Among the participants who had no diagnosis of cannabis abuse at baseline, depressive symptoms at baseline failed to significantly predict cannabis abuse at the follow-up assessment. Am J Psychiatry 2001 Dec;158(12):2033-7

Depression Higher with Marijuana: Cannabis use is very prevalent (25%) in Australia high school survey (13-17yo). The association with depression, conduct problems, excessive drinking and use of other drugs shows a malignant pattern of comorbidity that may lead to negative outcomes. Br J Psychiatry 2002 Mar;180:216-21

Depressed Teens More Marijuana: depressed adolescents also had less optimal peer relationships, fewer friends, and were less popular. They experienced less happiness and more frequent suicidal thoughts. They spent less time doing homework, had a lower grade point average, and spent less time exercising. The depressed group also reported more use of marijuana and cocaine. A stepwise regression indicated that physical affection with parents, homework, well-being, exercise, happiness, and parent relations explained 55% of the variance. Miami survey 79 high school students. Adolescence 2001 Fall;36(143):491-8

85% MDD in Study Used Marijuana as Teens in Prospective Study: Use of alcohol, marijuana or other illicit drugs in early teen years more likely to experience psychiatric disorders, especially depression, in late 20's. Although teens who started smoking at an early age were at increased risk for alcohol dependence and substance use disorders in their late 20's, they did not appear to be at an increased risk for depression or other psychiatric disorders. However, initiating tobacco use in late adolescence was associated with depression and other psychiatric disorders in the late 20s. These findings are based on a 22-year study that tracked the self-reported substance abuse and health histories of 736 youths through their early-and mid-teen years into early adulthood. Scientists from the Mount Sinai School of Medicine and Columbia University, Arch Gen Psych 11/02

Depression in Teen Girls up 5-fold with Daily Marijuana in Prospective Study: 1601 students aged 14-15 followed for seven years. 16 Australian schools. 60% of participants had used cannabis by the age of 20; 7% were daily users at that point. Daily use in young women was associated with an over fivefold increase in the odds of reporting a state of depression and anxiety after adjustment for intercurrent use of other substances (odds ratio 5.6, 95% confidence interval 2.6 to 12). Male daily use doubled depression. Weekly or more frequent cannabis use in teenagers predicted an approximately twofold increase in risk for later depression and anxiety (1.9, 1.1 to 3.3) after adjustment for potential baseline confounders. In contrast, depression and anxiety in teenagers predicted neither later weekly nor daily cannabis use. 2002;325:1195-1198 ( 23 November ) BMJ. Cannabis use and mental health in young people: cohort study. George C Patton, Carolyn Coffey, John B Carlin, Louisa Degenhardt, Michael Lynskey, Wayne Hall.

Marijuana by Age 18 Doubles NZ Depression in Prospective Study: 1037 people born in Dunedin, New Zealand in 1972 and 1973. They found that people who used cannabis by age 15 were four times as likely to have a diagnosis of schizophreniform disorder (a milder version of schizophrenia) at age 26 than non-users. However, those schizophreniform were more likely to have psychotic symptoms at age 11 and when controlling for this factor, the trend was reduced by 31% and became statistically non-significant. Psychosis was very common in study including 3 of 29 who were marijuana smokers at age 15 and 22 of 730 of the remaining available cohort. Cannabis use in adolescence and risk for adult psychosis: longitudinal prospective study British Medical Journal (vol 325:1212-3). Users in the study at age 15 were still 212% more likely to develop schizophreniform disorder. This huge difference was non-significant because of the very small size of the study. However, if this figure easily fits of exceeds the findings of the much larger Swedish military study. Use by age 18 was associated with a 42% increase in schizophreniform after controlling for early psychotic symptoms. The 236 marijuana smokers by age 18 were also significantly 96% more likely to have depressive symptoms and 61% more likely to develop a depressive disorder. The entire prepsychotic finding of the New Zealand study was most likely attributable to one of the three having pre-psychotic symptoms.

Depressed Australian Teens More Likely Use Marijuana: Seventy of 1340 adolescents (5.2%) met criteria for self-reported depression. Agreement between parent- and adolescent-reported depression was poor. Adolescent-reported depression was associated with increased suicide plans (odds ratio [OR], 2.83) and attempts (OR, 9.05) in the previous year, use of marijuana 10 or more times in the previous month (OR, 2.88), having conduct disorder (OR, 4.09). Three per cent (2/70) of depressed adolescents had been treated with antidepressants. Rey, Sydney, Aust. Med J Aust 2001 Jul 2;175(1):19-23. Bupropion worsens mood in marijuana withdrawal. Psychopharmacology (Berl) 2001 May;155(2):171-9

Drug Using Hispanic Teens Much More Depression: 5721 students (59%-63% Hispanic) completed self-report items on depressive symptoms, recent smoking and binge drinking, and lifetime use of marijuana, cocaine, and inhalants. Symptoms of depression were strongly and positively related to substance use. For every type of use, a stepwise increase was seen between the percentage of students with low symptom frequency and the percentage of students with more symptoms. A sizable number of users reported symptoms indicating major depression. Am J Public Health 2001 May;91(5):761-6

Smoking, Marijuana, Not Depression Leads to Alcohol: Smoking, marijuana use, and conduct problems were consistent promoters of transitions to more severe drinking classes, but depressed affect was not a significant predictor. Parental history of alcohol problems or excessive drinking, particularly maternal history, was a significant predictor. 1799 female twins studied. Bucholz, Wash U. Alcohol Clin Exp Res 2000 Jun;24(6):914-23

Depression Increases with Increased Marijuana: 83% of subjects with DSM-III-R cannabis dependence, 46% of those with DSM-III-R cannabis abuse and 29% of occasional users received at least one DSM-III-R psychiatric diagnosis. The severity of depressive, anxious and alexithymic symptoms increased progressively with the degree of involvement with cannabis. Study of 133 Italian military recruits found to have marijuana on screening urines. Addiction 1998 Apr;93(4):487-92