There is a reference in the Lewis and Clark journals (1805) to smoke signals:
[...]we were at a loss to determine whether [a forest] had been set on fire by the natives as a signall among themselves on discovering us, as is their custom[...]
As contemporaries, Lewis was apparently aware of this custom. While this still could be a myth, it pre-dates television.
Edit: Removed a claim that there is a lot of evidence for European use of smoke signals. The only one I can find right now is from Polybius describing Hannibal crossing the Rhone river:
As soon as Hannibal saw by the smoke, which was the signal agreed upon,[...]
To the large number of people who have just dropped a link as an answer. We appreciate that you are trying to be helpful, but please keep in mind that the rules of the subreddit require a link to be put into context! Including your sources in an answer is great, but unless you are prepared to go into a little detail about what the link says on the matter, we are going to have to remove it. Thanks!
I've read several references of Apaches using smoke for various signaling purposes. In "Life Among the Apaches, John Cremony discusses some of the different types and situations in which smoke was used. One of the most common uses was signaling amongst the Apaches of an area when intruders/visitors were seen. I.e. A lookout watching over a large valley would light a fire to alert the rest of group. Cremony didn't list many different specific types of signals - maybe a half dozen at most. The signals were simple, like just one long plume, a series of "puffs" (made by temorarily blocking the smoke from rising with something like a blanket or hide) or a long plume with a few "puffs" in the middle. There wasn't a complicated Morse code type of alphabet used as he recounts it. Each type had a specific meaning. If the signals were "translated" they would be like "I see someone" or "Where are you".
I just started reading "Western Apache Raiding and Warfare" from the notes of Grenville Goodwin and it was already mentioned as being used by a chief who went to go talk with a group of potentially dangerous people. The chief light fires in the brush as he went to signal he was still OK.
I haven't read large amounts about other tribes so I can't say if they used smoke like this as well, but the terrain of the Southwest US is especially conducive to using smoke. The area the Apaches lived is mountainous and relatively open vegetatively, meaning signals could be seen for miles.
I'm assuming you're referring to mainly Native North Americans, but perhaps this will help: Buddy Levy in his book on the fall of the Aztecs, Conquistador, describes how the Aztecs used smoke signals to communicate about the Spanish movements around the Valley of Mexico.
the enemy, who had already observed us, now suddenly began to send up great smoke signals all over the land...
Many cultures, including Native Americans, used smoke signals as a means of communication. In communication, smoke signals fall under line-of-sight and visual communication, which also include flag signaling and torch/lamp signaling. These were popular forms of communication prior to the industrial revolution.
Some specific examples can be seen in Sterling, Christopher H. Introduction. Military Communications: From Ancient times to the 21st Century. Santa Barbara, CA: ABC-CLIO, 2008. xxiv-xvi.
We have at least one eye-witness account of this behavior, from an autobiography written by famous assassin and scout Tom Horn (hanged for murder November 20, 1903). The anecdote is in "Life of Tom Horn: Government Scout and Interpreter", which can be found by searching Amazon.
Chapter XVII (location 1733/3231 of my Kindle edition) is partially titled "Apache Smoke Signals", and gives a personal account of watching an Apache scout use a signal fire (and presumably the smoke from the chapter title) to let other Indians know his location.
There were likely a small, set number of signals. This is a quote from an army captain in the 1860s:
"Apache smoke signals are of various kinds, each one significant of a particular object. A sudden puff, rising from the mountain heights … indicates the presence of a strange party upon the plain below. If these puffs are rapidly repeated they are a warning that the strangers are well armed and numerous. If a steady smoke is maintained for some time, the object is to collect the scattered bands of savages at some designated point, with hostile intention, should it be practicable."