Despite often being considered equivalent affective states, shame and guilt have differential associations with problem gambling with only shame showing a strong positive association with problem gambling. However, little is known about the mechanisms underlying the shame-problem gambling association. Further, shame and guilt are associated with distinct coping strategies, with shame motivating maladaptive coping (e.g., avoidance, escape) and guilt motivating adaptive coping (e.g., taking corrective action). This study aimed to examine whether maladaptive coping motives for gambling mediate the relationship between shame, but not guilt, and gambling problems. Participants were 196 (126 male) regular gamblers who completed a same and guilt scale, the Problem Gambling Severity Index, and a modified Gambling Motives Questionnaire, which assessed individual motives to engage in gambling for coping, enhancement, or social reasons. Results indicated that coping motives for gambling fully mediated the relationship between shame and problem gambling severity, but did not mediate the association between guilt and problem gambling severity. Experiencing shame contributes to problem gambling as a result of gambling to cope with negative affect. Cultivating more adaptive strategies to cope with shame may be effective in preventing and treating problem gambling.