We investigate the question whether problem gambling (PG) in a recent South African sample, as measured by the Problem Gambling Severity Index (PGSI), is dimensional or categorical. We use two taxometric procedures, Mean Above Minus Below A Cut (MAMBAC) and Maxim Covariance (MAXCOV), to investigate the taxonic structure of PG as constructed by the PGSI. 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 are to the 9 item PGSI. MAMBAC provided positive but modest evidence that PG as measured by the PGSI was taxonic. MAXCOV pointed more strongly to the same conclusion. These analyses also provide evidence that a PGSI cutoff score of 10 rather than the standard 8 may be called for. PG as constructed by the PGSI may best be thought of as categorical, but further studies with more theory based measurements are needed to determine whether this holds in a wider range of samples and for other screens. A higher cutoff score may be called for on the PGSI when it is used for research purposes to avoid false positives.