This study examined associations between problem gambling and type of gambling engagement (online, land-based or both), psychological distress, alcohol-related problems and demographics among male (n = 1438) and female (n = 1546) past-year gamblers in Western Finland. In this sample, 7.6% of men and 3.1% of women were screened as problem gamblers. Logistic regression analyses were used to study the associations for men and women separately. Among men, engaging in both land-based and online gambling or engaging in online gambling only and psychological distress increased the risk of problem gambling. Among women, engaging in both land-based and online gambling and alcohol-related problems were significantly associated with problem gambling. The findings further highlight the need to consider sex differences in preventive and treatment initiatives and policies targeting problem gambling. Online gambling seems to have stronger links with problem gambling, which motivates further research in the eventual harmfulness of this gambling form.