People who experience depression are at a greater risk of experiencing problem gambling. However, the pathway from depression to problem gambling is not well understood. This study tested if the ways people cope with shame affect the link between depression and problem gambling. Participants completed an online survey that asked about gambling behaviour, feelings of depression, and four ways that they might cope with shame. The researchers found that people with greater feelings of depression gambled more frequently and at a more severe level. This was because of a greater tendency to cope with shame by attacking others and a lower tendency to cope with shame by attacking oneself. Coping with shame by withdrawal or avoidance did not link depression to gambling.