This research can help us understand whether higher rates of problem gambling among people with poor mental health can be explained by particular types of gambling or health behaviour patterns, which could themselves be addressed to tackle problem gambling. The findings of this report suggest that the higher rates of moderate risk and problem gambling amongst people with poor mental health cannot be fully accounted for by differences in gambling behaviours or other risky health behaviours. People with poor mental health are more likely to experience gambling harms. This is regardless of how often they gamble, the types of gambling activities they engage in, and whether they smoke or drink. These findings offer insights into the “health-harm paradox” in problem gambling. It is recommended that gambling be embedded within the broader mental health strategies.