In the U.S., cigarette smoking is increasingly concentrated in disadvantaged and vulnerable populations, such as populations with lower income and with mental health needs. Food insecurity is linked with psychological distress and is an independent risk factor for smoking. We prospectively examined how cigarette smoking, food insecurity, and psychological distress operate as risk factors for one another in a 2-year longitudinal analysis of U.S. adults from the 2015 and 2017 Panel Study of Income Dynamics, a nationally representative household survey (N = 7946). Using cross-lagged panel analysis, cross-lagged regression coefficients were estimated simultaneously with direct-effect paths, controlling for covariates. Results showed significant bidirectional associations between smoking and food insecurity: 2015 smoking predicted 2017 food insecurity, and 2015 food insecurity predicted 2017 smoking. Food insecurity and psychological distress also had significant bidirectional associations. However, the association between smoking and psychological distress was unidirectional: 2015 psychological distress predicted 2017 smoking, but not vice versa. The findings suggest a cyclical possibility that smoking exacerbates food insecurity, food insecurity exacerbates psychological distress, and psychological distress exacerbates smoking. There is a need to replicate with more timepoints, but our results highlight the importance of examining the overlapping health burdens of smoking, food insecurity, and psychological distress.