Background Although gambling disorder is traditionally considered an adult phenomenon, the behavior usually begins in childhood or adolescence. Objective The aim of this study was to explore the frequency of problem gambling among Swedish adolescents and the suspected associated factors. Methods This study was based on data collected through a public health survey distributed in 2016 to pupils in ninth grade of primary school and in second grade of secondary school in Sweden. Bayesian binomial regression models, with weakly informative priors, were used to examine whether the frequency of the associated factors differed between those with and without problem gambling. Results Approximately 11.7% (469/4002) of the boys in ninth grade of primary school and 13.9% (472/3407) of the boys in second grade of secondary school were classified as problem gamblers. For girls, the corresponding frequencies were 1.2% (48/4167) and 0.7% (27/3634), respectively. The overall response rate was 77% (9143/11,868) among ninth grade pupils and 73.4% (7949/10,832) among second grade pupils, resulting in a total of 17,092 responses. Problem gambling was associated with poor sleep and having tried smoking, alcohol, and other substances among both boys and girls in ninth grade of primary school and boys in second grade of secondary school. Problem gambling among girls in second grade of secondary school was associated with an increased prevalence of having tried smoking and other substances and an increased prevalence of poor sleep. Conclusions Using a large representative sample of Swedish adolescents, we found that problem gambling was robustly associated with a substantially increased prevalence of poor sleep and having tried smoking, alcohol, and other substances among both boys and girls in ninth grade of primary school as well as among boys in second grade of secondary school. Our study adds important information for policy makers pointing at vulnerable groups to be considered in their work to prevent problem gambling.