That the weighing of positive and negative consequences expected from behavior is fundamental to understanding behavior is central to many theories. We consider this in the context of subjective expected utility (SEU) and cigarette smoking in a panel study of 1,334 adolescents. There were reciprocal relationships between SEU and behavior, and SEU accounted for the association between some social and psychological variables and smoking behavior. We conclude that SEU contributes to the explanation of adolescent smoking behavior.