This type of blue is not a specific color but rather, it becomes Haint Blue when it is used for the purpose of warding off haints, a belief rooted in Gullah-Geechee beliefs. (Though for technicalites' sake, it is a range of blues -> blue greens). After the 1800s, this way of using blue trickled down from the Gullah-Geechees in South Carolina to places such Louisina where Annie is suggested to be from.

The Old Plantation (Slaves Dancing on a South Carolina Plantation), ca. 1785-1795. watercolor on paper, attributed to John Rose, Beaufort County, South Carolina

Blue has always had a fraught history with enslaved Native Americans and Africans. The production of indigo was a profitable commodity demanded by the British empire as early as the 18th century. This production of indigo however, while it oppressed, was also a way for Black and Native Americans to express their individuality, and for people such as the Gullah-Geechee, their spirituality. Annie continues to draw strength from her roots and it's incredible to see it so profusely in so many aspects of her character, including her clothes.

So here is where I deviate a bit from "canon" per se, or give some interpretation of Ruth E.'s and Coogler's "Smoke is blue." We talk a lot about how the movie does a great job of showing how, though Smoke wasn't completely "sold" on hoodoo, but that he did very much believe in Annie. And that trust between them goes beyond what Smoke's willing to communicate through words (he wears the mojo bag through the war, through Chicago, and removes it only when he's ready to die. How he let's her take the reigns when talking to Cornbread. How he follows through with his promise as painful as it was).

"Smoke is blue. Stack is red." - Ruth E. Carter explaining how Ryan Coogler first posed the characters to her as a jumping off point for costuming.

Whether or not it's a conscious knowledge, I like to think that he dresses in blue as an extension of that trust. That bond between Annie and Smoke and the protection that comes with it bleeds into something as "ordinary" as Smoke's choice of color. One can say that maybe the color reminds him of Annie, and I also think there's some argument to be made about the universe answering Annie's prayers of protection, wrapping Smoke in an extra layer, another ward against evil.

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Sources:

Blue Roots by Robert Pickney

Red, White and Black Make Blue: Indigo in the Fabric of Colonial South Carolina Life by Andrea Freeser

Haint Blue, the Ghost-Tricking Color of Southern Homes and Gullah Folktales

What the Color ‘Haint Blue’ Means to the Descendants of Enslaved Africans