This study examined the risk of co-occurring mental health conditions in Swedish men and women with and without gambling problems. It also examined whether gambling problems preceded or followed other conditions. Participants were from a longitudinal research study in Sweden. Results revealed that all conditions (depression, suicidal events, anxiety, and alcohol and other substances) were more common in participants with problem gambling. All conditions, aside from alcohol and other substance uses, were more common among women than men. For women, all the comorbid conditions started before gambling. Men started gambling before having any other condition, and depression and suicidal events emerged after they had developed problem gambling.