Major depression is among the most common comorbid conditions in problem gambling. However, little is known about the effects of comorbid depression on problem gambling. The present study examined the prevalence of current major depression among problem gamblers (N = 105) identified from a community sample of men and women in Alberta, and examined group differences in gambling severity, escape motivation for gambling, family functioning, childhood trauma, and personality traits across problem gamblers with and without comorbid depression. The prevalence of major depression among the sample of problem gamblers was 32.4%. Compared to problem gamblers without depression (n = 71), problem gamblers with comorbid depression (n = 34) reported more severe gambling problems, greater history of childhood abuse and neglect, poorer family functioning, higher levels of neuroticism, and lower levels of extraversion, agreeableness, and conscientiousness. Furthermore, the problem gamblers with comorbid depression had greater levels of childhood abuse and neglect, worse family functioning, higher neuroticism, and lower agreeableness and conscientiousness than a comparison sample of recreational gamblers with depression (n = 160). These findings underscore the need to address comorbid depression in assessment and treatment of problem gambling and for continued research on how problem gambling is related to frequently co-occurring disorders such as depression.