The relationship between problem gambling and depression is well documented. However, there are few studies that have explored the mechanisms that may help maintain the association between depression symptoms and problem gambling. This study tests the assumption that gambling for escape and excitement may either mediate or moderate the relationship between depression and problem gambling. To test these propositions, 282 adults who gambled at least once a month were recruited to complete an online survey that assessed depression severity, the gambling outcomes expectancies of escape and excitement and problem gambling. The study did not find evidence for a mediation effect for either escape or excitement, although escape moderated the relationship between depression and problem gambling. In particular, there was not a relationship between depression and problem gambling when there was low endorsement of the escape gambling outcomes expectancies. However, the relationship between depression and problem gambling strengthened when endorsement of gambling as an escape increased. This indicates that individuals with elevated levels of depression symptoms, and who view gambling as a way to moderate mood states, may be at higher risk for problem gambling than those who hold less favourable views towards gambling as a mood modifier. This suggests it may be helpful to consider the gambling expectancies of gamblers experiencing problems when formulating educational and treatment initiatives, especially with those experiencing heightened levels of depressive symptoms.