Not much is known about the correlation between gaming problems and substance use across different countries. This paper presents cross-national analyses of different gaming indicators and their relationship to substance use. Based on data from the 2015 ESPAD study, differences in the relationship between gaming and substance use across 35 countries were analysed using multi-level logistic regression, using substance use as an individual level predictor, economic wealth as a country-level predictor and a combined problem gaming indicator as the outcome. Multi-level logistic regressions revealed significant correlations between individual substance use and gaming problems, which varied across countries and were moderated by economic wealth. Students who used alcohol, tobacco or cannabis and who lived in high-income countries had a smaller risk of scoring positively on a combined problem gaming indicator than students who used alcohol, tobacco or cannabis and who lived in less prosperous countries. Different gaming indicators varied substantially across countries, with self-perceived gaming problems being more common in countries with a low prevalence of gaming. Significant cross-level effects demonstrate the need to take the societal context into account when the relationship between problem gaming and substance use is analysed. Prevention measures need to take the fact into account that patterns of substance use among problem gamers vary across countries.