Anecdotal: It didn't cure my depression but certainly helped me manage it. It was the only thing that made the depression subside for long enough to concentrate and get real work done.

Major Caveat: My brain chemistry has changed over time, and the last 10 times I've smoked have all been horrible, indescribable paranoia and anxiety I wouldn't wish upon anyone. (Fun fact: pure THC injected into a healthy adult predictably causes psychosis.)

Used to recommend highly, now highly dis-recommend until the genetic testing becomes available and widespread. For some people it's the only thing that helps. For others it might just be the worst thing a person could do to themselves.

Re: Correlation != Causation

Yes, certainly. However, observing myself and others, I see a definite worsening of anxiety and paranoia after smoking. Yes, it depends on the person, what you're smoking, etc. (THC vs CBD (apparently a potent anti-psychotic) is very fascinating and I look forward to more research in this area)

The take-home point is that there are people who should not be smoking at all, and this is something I really don't hear mentioned enough.