Objective: Previous cross-sectional research has shown that depression and problem gambling co-occur. Longitudinal research, however, allows for a better determination of directionality, as behavioural changes in gambling involvement can be more reliably studied over time. Our study assesses symptoms of depression and problem gambling across 4 waves and addresses whether their relation is directional (with one reliably preceding the other), bidirectional, or pathoplastic. Method: As part of the Manitoba Longitudinal Study of Young Adults, prospective data were collected on Canadian young adults’ (Wave 1: n = 679, 51.8% female, aged 18 to 20 years) depressive symptoms, involvement in gambling, and risky gambling behaviour. Recruitment and the first cycle of data collection (Wave 1) took place in fall 2007. Three additional waves of data collection then occurred in 12- to 18-month intervals: fall 2008, spring 2010, and spring 2011. The Problem Gambling Severity Index and the Composite International Diagnostic Interview—Short Form were administered through telephone interview at each wave. Results: Bivariate growth curves showed that depressive and problem gambling symptoms were positively correlated at Wave 1, Wave 2, and Wave 4. Neither disorder was found to be a risk factor for the other, and depression and problem gambling were not pathoplastically related (that is, increases in one did not result in increases in the other over time, and vice versa). Conclusions: While depression and problem gambling are related, their co-occurrence may be better explained not by depressive- or gambling-related risk, but by the presence of a common underlying factor (such as substance abuse).