Understanding the variables that contribute to the comorbidity of depression and gambling behaviors is important in developing effective intervention strategies for those who experience gambling-related problems. The purpose of this study was to implement core concepts from Jacob’s general theory of addiction and the social cognitive theory in a multiple mediation model. Specifically, we tested two models to examine whether coping motivation and refusal self-efficacy mediated the relationship between depressive symptoms, gambling related problems, and days gambled. Data was collected from 333 undergraduate students at a large public Midwest university, participating in a larger clinical trial. Analyses indicated a direct effect between depressive symptoms and gambling related problems. Depressive symptoms were found to have a significant indirect effect through coping motivation and gambling refusal self-efficacy on gambling related problems and days gambled. These results provide further support regarding the mechanisms through which depressive symptoms may increase risk for problematic gambling behavior.