Today, smart meters are being employed on a large scale. However, there exist a number of security threats to smart meters, whereof some can be countermeasured by means of cryptographic techniques, which requires storage of cryptographic keys in smart meters. However, relevant threats include compromise of stored cryptographic keys, which would provision an adversary to control smart meters. In this paper, we propose the novel concept co-dependent message authentication, whose purpose is to prevent such attacks from succeeding. We then show a realization of this by means of threshold cryptography, which distributes the authentication process of received messages and commands to several co-located smart meters. Hence, if a smart meter is compromised, co-dependent message authentication will prevent that smart meter from accepting fraudulent commands originating from an adversary.