Individuals’ body weight, measured in terms of body mass index (BMI), has been linked to various health issues in the literature. Recently, a positive relationship has been found between obesity and the level of problem gambling. In this exploratory study, we investigate the association between BMI, obesity, and gambling frequency across multiple types of leisure gambling. Data collected by the Pew Research Center among 1,473 gamblers was used to tests the links between BMI and gambling frequency for 16 types of leisure gambling activities. After we accounted for the effects of age, educational level, and family income and corrected for multiple comparisons, the results showed that obese participants (BMI ≥ 30) conducted significantly more gambling activities in two types of gambling, namely, playing bingo for money and buying state lottery tickets. Moreover, among female gamblers only, BMI was positively associated with frequency of gambling related to casinos, college basketball, and video poker machines. The findings of this exploratory study allow a better understanding of the potential risk factors of obesity and may be of value to public policy makers.