This study explores the interrelationships of problem gambling, feelings of shame and guilt, and the use of avoidant and nonavoidant coping strategies among a sample of emerging adult gamblers (N = 391) from the University of Manitoba. Exploratory factor analysis was used to assess the factor structure of the Coping With Gambling Loss (CWGL) measure, then observed path models were used to test three hypotheses regarding shame and guilt’s determination of coping with gambling loss. Factor analysis produced a five-factor solution, which opposes the six-factor solution found in previous work. Problem gambling was measured by the Problem Gambling Severity Index (PGSI), and shame and guilt were measured using measures created by Yi and Kanetkar (2011). Results supported Hypothesis 1 that problem gambling was more strongly associated with feelings of shame compared to feelings of guilt. Hypothesis 2, that feelings of guilt had a strong, positive association with nonavoidant coping and shame with avoidant coping, was not supported. Finally, Hypothesis 3, that shame and guilt mediate the relationship between problem gambling and a gambler’s choice to cope, was supported. Implications from the study support expansion and further testing of the CWGL, and an application of the causal relationship explored to different samples, as results from the present study differ from results found among a normative population.