Socio-economic status has been shown to be significantly related to both problem gambling and mental health problems. Additionally, forms of psychopathology such as mood and anxiety disorders have been shown to correlate with problem gambling across a variety of settings. However, relatively little research has been conducted examining whether the connection between mood and anxiety disorders and problem gambling is consistent across different levels of socio-economic status. This study examines gambling-related problems among a representative sample of Canadian adults using the 2008 Canadian Community Health Survey (N = 28,271). Generalized linear modelling is used to analyze the data. A moderation effect is found that shows the relationship between anxiety disorders and problem gambling severity varies significantly across socio-economic status. This study shows that social setting has an important influence on the assumed relationship between psychopathology and gambling problems that is downplayed in current problem gambling research. A discussion of the need for greater inclusion of socio-economic context when making assumptions about the connections between problem gambling and psychiatric disorders is made in light of the responsibilities of gambling providers and regulators.