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Most studies on substance use, psychological distress, quality of life (QoL), and life events among gamblers are carried out on pathological gamblers seeking treatment, and sex differences are rarely investigated. The aim of this study was to explore the potential male-female differences in the relationship between these variables in a nationally representative French sample.Three hundred thirty-two problem gamblers (PGs) and 25,314 non–problem gamblers or non-gamblers (NPGs) were evaluated for sociodemographic variables, gambling behavior, substance use, QoL, and life events.Male PGs had better scores on measures of self-esteem and physical, mental, general, and perceived QoL than female PGs, who had higher psychological distress, anxiety, and depression scores. Male and female PGs reported more life events than NPGs. After controlling for the effect of substance use, serious conflicts or a climate of violence between parents in childhood was negatively associated with problem gambling in females. In males, the death of a parent during childhood and physical violence in the past year were positively associated with problem gambling, and a severe parental health problem during childhood was negatively associated with problem gambling.This study highlights the importance of sex differences in problem gambling and explores related clinical implications.