Despite the increasing demand for public health measures to prevent problem gambling, few studies have examined the association between community characteristics and problem gambling. The aim of this nationally representative cross-sectional study was to investigate the relationship between a sense of community belonging and problem gambling in Canada. We also examined whether this relationship was modified by sex and marital status. Canadian Community Health Survey (2013-2014) data from 38,968 residents of Quebec, Saskatchewan, Manitoba, and British Columbia were analyzed. Problem gambling was assessed using the Canadian Problem Gambling Index. We estimated the odds ratios (ORs) and 95% confidence intervals (CIs) for problem gambling. The prevalence of problem gambling was 1.4% (1.9% among males; 0.9% among females). We observed an inverse dose-response relationship between a sense of community belonging and problem gambling. Compared with those with a very strong sense of community belonging, the adjusted ORs for problem gambling were 1.07 (95% CI 0.65-1.76) for a somewhat strong sense, 1.27 (95% CI 0.77-2.11) for a somewhat weak sense, and 2.32 (95% CI 1.34-4.02) for a very weak sense of community belonging. The association was more prominent among females (except for those widowed/divorced/separated), whereas no clear association was found among males, irrespective of marital status. When implementing public health measures to reduce problem gambling, it would be useful to account for possible differential impacts of a sense of community belonging by sex and marital status, which may reflect significant social contexts among residents.