Origin of the name - Smoky Lake

The name for this lake is a translation of the Cree name kaskapatau sakahigan. According to legend, Smoky Lake was named by [First Nations] for a smoke-like vapour which rose from the lake, obscuring the opposite shore. Alexander Henry the younger, in his journal dated 10 July 1810, mentions this feature as "Lac qui Fume," or "the lake who smokes." 

--Place Names of Alberta, Volume III - Central Alberta, by Tracy Harrison