Both problem gambling and debt stress are linked to financial and mental health harms. However, the relationship between gambling, debt stress, and mental health is unclear. It is possible that debt stress provides the link between excessive gambling and poorer mental health. This study surveyed Australian adults who had gambled in the past month and assessed their gambling behaviour, debt stress, and mental health and wellbeing. How frequently someone gambled was not associated with debt stress. However, debt stress partly explained the relationship between problem gambling and mental health. Debt stress may be a useful indicator to identify underlying gambling and mental health problems in primary healthcare settings.