Internationally, and also in Europe, adolescent gambling is increasingly recognized as an important public health issue. Most research on adolescent gambling, however, is prevalence-focused and population-based studies are scarce. Few studies have examined gambling-related harms among adolescents. In a national sample, we examined self-experienced harms related to gambling and the relationship between reported harms and gambling behavior among Finnish adolescents. A national survey of 12–18-year-olds was conducted in Finland in 2011 (N = 4,566). Main measures were frequency of gambling and gambling-related harms reported during the past 6 months. The relationship between reported harms and gambling behavior was assessed using logistic regression analysis. Overall, 44% had gambled during the past 6 months. Of the sample, 12% were frequent gamblers (at least weekly) and 32% were occasional gamblers (monthly or less often). Compared to occasional gamblers, frequent gamblers were more likely to experience harms. The most commonly reported harms among frequent gamblers were “felt guilty or shameful due to gambling” (17%) followed by “problems with relationships” (13%) and “disruptions of daily rhythm” (10%). In age and gender-adjusted analysis, daily gamblers were significantly more likely to report all different types of harms when compared to other groups. These findings suggest that when planning and targeting youth gambling prevention and harm reduction strategies the nature and extent to which gambling may contribute to the different types of harms are important to consider.