Stress and self‐esteem have been shown to be important risk factors for adolescent cigarette smoking, and self‐esteem has previously been implicated as a stress‐moderating and a stress‐mediating variable. This study aimed to examine the associations between stress, area‐specific self‐esteem, and adolescent smoking, and to investigate whether specific areas of self‐esteem moderate or mediate the relationship between stress and smoking. Four hundred and ninety‐five adolescents (aged 14–19) responded to a questionnaire that examined these variables. Results showed that self‐esteem in the areas of school subjects and parent relations were related to smoking. Adolescents with low self‐esteem in these areas were more likely to smoke than their high self‐esteem counterparts. Highly stressed adolescents were more likely to smoke than those with low stress. However, the relationship between stress and smoking was completely mediated by self‐esteem in the area of school subjects. No moderation was revealed. Thus, high global self‐esteem may not be sufficient to reduce the risk of smoking. To maximise benefit, prevention and intervention efforts should target self‐esteem in the areas of school subjects and parent relations. Initiatives focusing on stress are only likely to decrease smoking to the extent that they influence self‐esteem in the area of school subjects.