This study extended the diathesis-stress-coping model (Lazarus and Folkman, 1984) to understand problem gambling in Chinese societies. We examined core model components of impulsivity trait (diathesis), life stress, and gambling refusal efficacy (coping efficacy) with 942 Chinese college students and 153 Chinese gamblers. Results showed that the three core model components exerted main effects on problem gambling for both samples. Among college students, refusal efficacy interacted with impulsivity to influence problem gambling in male and female students, and interacted with life stress in male students only. In particular, more severe problem gambling was associated with higher impulsivity in low- but not high-efficacy students, and with higher stress in low- but not high-efficacy male students. Among gamblers, impulsivity interacted with life stress to influence problem gambling. In the high stress condition, high- relative to low-impulsivity gamblers reported more severe problem gambling, but this pattern was not found in the low-stress condition.