Fact
Research shows an association with increased frequency of nicotine use and depression, - aka the more you use it, the more depressed you can get.
Source 1:
Bi-directional associations of electronic and combustible cigarette use onset patterns with depressive symptoms in adolescents. William V. Lechner, Tim Janssen, Christopher W. Kahler, Janet Audrain-McGovern, Adam M. Leventhal