People who experience problem gambling are more likely to report using tobacco products. Heated tobacco products (HTPs) are relatively new nicotine products where tobacco is heated instead of burned. The relationship between HTPs and problem gambling is currently unknown. In the current study, people in Japan with a recent history of gambling reported their use of both HTPs and cigarettes, alongside problem gambling. Both cigarette smoking and use of HTPs were associated with problem gambling. People who used both cigarettes and HTPs were at greatest risk of problem gambling compared to those who did not smoke. The association of tobacco use with problem gambling was more pronounced in women, younger people aged 16–29 years, and older people aged 66 and above.