This study sought to determine the prevalence of gambling and unhealthy gambling behaviour and describe risk and protective factors associated with these behaviours amongst a nationally representative sample of New Zealand secondary school students (n = 8,500). Factor analysis and item response theory were used to develop a model to provide a measure of ‘unhealthy gambling’. Logistic regressions and multiple logistic regression models were used to investigate associations between unhealthy gambling behaviour and selected outcomes. Approximately one-quarter (24.2 %) of students had gambled in the last year, and 4.8 % had two or more indicators of unhealthy gambling. Multivariate analyses found that unhealthy gambling was associated with four main factors: more accepting attitudes towards gambling (p < 0.0001); gambling via gambling machines/casinos/track betting (p = 0.0061); being worried about and/or trying to cut down on gambling (p < 0.0001); and, having attempted suicide (p = 0.0009). Unhealthy gambling is a significant health issue for young people in New Zealand. Ethnic and social inequalities were apparent and these disparities need to be addressed.