The relationship between anxiety, social stress, substance use, and gambling behavior was examined in a sample of 1,044 high school students from grades 7-11. Adolescents completed several instruments assessing their state, trait, and generalized anxiety, social stress, substance use, and gambling behavior. Results reveal that probable pathological gamblers report more daily and weekly alcohol consumption, use more uppers, downers, and hallucinatory drugs, and smoke more cigarettes on a daily basis compared with non-gamblers, social gamblers, and gamblers at-risk for serious problems. Probable pathological gamblers similarly reported higher levels of state anxiety, trait anxiety, and social stress compared with non-gamblers, social gamblers, and at-risk gamblers. Adolescents with the highest state and trait anxiety scores had more severe gambling and substance abuse problems.