Macao, China's only city with legalized casinos, has maintained a high prevalence of gambling participation and gambling disorder (GD) over the past decade. The mental health risks associated with such high levels have been overlooked. In order to estimate the comorbid prevalence of GD with depression, anxiety, and Internet gaming disorder (IGD) and to explore the potential buffering effect of psychological resilience and purpose in life, this study obtained a representative adult Chinese sample (N = 1000, 44% male, aged 18⁻97 years) from a telephone survey conducted between October and November of 2016. As hypothesized, the highest psychiatric comorbid prevalence was observed in the GD subgroup (n = 19, 21.1% probable IGD, 26.3% probable depression, and 37.0% probable anxiety). All these mental health problems could increase one's proclivity to GD, and vice versa. Psychological resilience was found to buffer the association between anxiety symptoms and probable GD (χ²(1) = 4.30, p = 0.04/GD symptoms, Fchange (1,162) = 6.29, p = 0.01), whereas purpose in life did not display any hypothesized moderating effect. These results indicate the usefulness of mental health screening for GD, taking into consideration its associated risks, and of fostering psychological resilience in prevention and treatment programs.