Relatively little is known about gambling co-morbidity in Asian youth populations. The role of trait self-control in co-morbidity also remains under-explored in the gambling literature. This study examined the association between gambling, substance use and delinquency among Chinese adolescents, and the extent to which these forms of risk behavior are commonly predicted by low self-control. Data from a cross-sectional questionnaire survey of a stratified, random sample of 4,734 high school students aged 12–23 years in Hong Kong were analyzed. The prevalence of gambling pathology, frequency and attitudes showed statistically significant, positive and consistent relationships with tobacco use, alcohol use, and delinquent acts at the p < .001 level. Further analyses revealed that low self-control significantly (p < .001) predicts at-risk/probable pathological gambling, frequent gambling, strong permissiveness toward gambling, heavy use of tobacco and alcohol, and delinquent involvement, even after controlling for the potential shared correlates of socioeconomic characteristics, parental monitoring and peer delinquency. Hence, the concept that gambling problems and strong receptivity to gambling are likely to be part of a general problem behavior syndrome is evinced cross-culturally among young people in a Chinese context. It may also be cost-effective to increase intervention efforts to improve the self-control deficit in adolescents, as this should reduce their gambling and concurrent problem behavior.