In this study we examined the relations between guilt and shame and coping strategies in response to gambling loss. Based on H.B. Lewis's (Shame & guilt in neurosis. New York: International Universities Press, 1971) account of guilt and shame, we proposed that unlike guilt, the experience of shame involves the attribution of gambling loss to stable and global internal factors (i.e., self-devaluation). We hypothesized that problem gambling severity would be more strongly associated with the intensity of shame than with the intensity of guilt following gambling loss. Further, we hypothesized that the intensity of shame would be positively associated with the use of avoidant coping strategies following gambling loss. Finally, we hypothesized that the intensity of shame would mediate the association between problem gambling severity and the use of avoidant coping. These hypotheses were supported by a retrospective survey of recent gambling losses. Our finding suggests that the experience of shame and the use of avoidant coping strategies to deal with this emotion are central to problem gambling severity.