While deleterious consequences of smoking on health have been widely publicized, in many developing countries, smoking prevalence is high and increasing. Little is known about the dynamics underlying changes in smoking behavior. This paper examines socio-economic and demographic characteristics associated with smoking initiation and quitting in Mexico between 2002 and 2010. In addition to the influences of age, gender, education, household economic resources and location of residence, changes in marital status, living arrangements and health status are examined. Drawing data from the Mexican Family Life Survey, a rich population-based longitudinal study of individuals, smoking behavior of individuals in 2002 is compared with their behavior in 2010. Logistic models are used to examine socio-demographic and health factors that are associated with initiating and quitting smoking. There are three main findings. First, part of the relationship between education and smoking reflects the role of economic resources. Second, associations of smoking with education and economic resources differ for females and males. Third, there is considerable heterogeneity in the factors linked to smoking behavior in Mexico indicating that the smoking epidemic may be at different stages in different population subgroups. Mexico has recently implemented fiscal policies and public health campaigns aimed at reducing smoking prevalence and discouraging smoking initiation. These programs are likely to be more effective if they target particular socio-economic and demographic sub-groups.