We investigate the extent to which problem gambling in a recent South African sample, as measured by the Problem Gambling Severity Index (PGSI), is comorbid with depression, anxiety and substance abuse. Data are from the 2010 South African National Urban Prevalence Study of Gambling Behavior. A representative sample of the urban adult population in South Africa (N = 3,000). Responses to the 9-item PGSI and ratings on the Beck Depression Index, the Beck Anxiety Inventory, and the World Health Organization Alcohol, Smoking and Substance Involvement Screening Tool (WHO ASSIST). Cross tabulations and Chi square analyses along with logistic regression analyses with and without controls for socio-demographic and/or socio-economic variables were used to identify comorbidities. The prevalence of depression, anxiety, alcohol and substance use were clearly higher among the sample at risk for problem gambling. Black African racial status and living in areas characterized by migrant mining workers was associated with increased risk of problem gambling and comorbidities. There is strong evidence that findings of comorbidities between pathological gambling and depression, anxiety and substance abuse in developed countries generalize to the developing country of South Africa. Historical context, however, gives those comorbidities a unique demographic distribution.