Background: Research shows high co-morbidity between gambling problems and depressive symptoms, but the directionality of this link is unclear. Moreover, the co-occurrence of gambling problems and depressive symptoms could be spurious and explained by common underlying risk factors such as impulsivity and socio-family risk. The goals of the present study were to examine 1) whether common antecedent factors explain the concurrent links between depressive symptoms and gambling problems, and 2) whether possible transactional links between depressive symptoms and gambling problems exist from late adolescence to early adulthood. Methods: A total of 1004 males from low SES areas participated in the study. Results: Analyses revealed a positive predictive link between impulsivity at age 14 and depressive symptoms and gambling problems at age 17. In turn, gambling problems at age 17 predicted an increase in depressive symptoms from age 17 to age 23, and depressive symptoms at age 17 predicted an increase in gambling problems from age 17 to age 23. Conclusions: Common antecedent factors may explain the initial emergence of an association between depressive symptoms and gambling problems in adolescence. However, once emerged, their escalation seems to be better explained by a mutual direct influence between the two sets of disorders.