Stress has long been implicated in relation to problem gambling and gambling disorder. However, less is known about the psychological processes that link stress to problem gambling through other known correlates, including outcome expectancies and maladaptive coping. The current study tests a moderated mediation model whereby the effect of stress on problem gambling was hypothesized to be mediated by escape outcome expectancies, with this mediation effect moderated by maladaptive coping. Participants (N = 240; 50.2% male, Mage = 32.76 years; SDage = 11.35 years) were recruited from an online crowdsourcing platform and provided responses on the Depression, Anxiety and Stress Scale (DASS-21; Lovibond & Lovibond, 1995), the Problem Gambling Severity Index (PGSI; Ferris & Wynne, 2001), escape subscale of the Gambling Outcome Expectancies Scale (GOES; Flack & Morris, 2015) and the Brief COPE (Carver, 1997). The model was tested using Hayes’ (2018) PROCESS macro, revealing a significant moderated mediation effect of the stress-escape path by maladaptive coping, showing that the effect was significant when maladaptive coping was high. The findings provide support for escape outcome expectancies as being a potential mechanism through which the stress-problem gambling relationship may operate specifically, influenced by how gamblers are engaged in maladaptive coping generally. There is a need to further investigate the potential for combining gambling outcome expectancy challenges with methods to reduce maladaptive coping or develop more adaptive responses in the face of stress among problem gamblers.