Immigrants to the US are not only an increasingly significant demographic group but overall they also have lower socioeconomic status (SES) than the native-born. It is known that tobacco use is a major health risk for groups that have low SES. However, there is some evidence that tobacco use among certain immigrant groups is lower than among the respective native-born ethnic group, and that immigrant assimilation is positively related to tobacco use. We investigated the relationship between immigrant generation and daily smoking, using the Tobacco Use Supplement of the Current Population Survey (TUS-CPS), 1995-96, a national data set representative of the US general and immigrant populations. Our multivariate logistic regression analysis of the relationship between immigrant generation and daily smoker status (n=221,798) showed that after controlling for age, gender, race/ethnicity, SES variables (i.e. equivalized household income, education, occupation), and central-city residence, the odds of being a daily smoker were highest among US-born individuals of US-born parents (reference group) and lowest among foreign-born individuals (95% CI: 0.54-0.62). Being a second-generation immigrant (i.e. US born) with two immigrant parents also conferred a protective effective from smoking (95% CI: 0.64-0.77). However, having only one foreign-born parent was not protective against smoking. Testing for interaction effects, we also found that being foreign born and being second generation with two immigrant parents were especially protective against smoking among females (vis-à-vis males); racial/ethnic minorities (vis-à-vis whites); and low-income individuals (vis-à-vis high-income individuals). We discuss possible mechanisms that may explain the protective effect against smoking of being foreign born and being second generation with two immigrant parents, including differences in the stage of the tobacco epidemic between immigrants' countries of origin and the US, the "healthy immigrant effect", and anti-smoking socialization in immigrant families.