Problem gambling among young people is an emerging trend globally. The online environment in particular offers various possibilities for gambling engagement. This is the first cross-national survey study using the social ecological model to analyze problem gambling, especially in the online context. The aim was to analyze how different social ecological spheres explain problem gambling. Participants were young people aged 15–25 in the United States (n = 1,212), South Korea (n = 1,192), Spain (n = 1,212), and Finland (n = 1,200). The South Oaks Gambling Screen (SOGS) instrument was used as a measure for problem gambling. Regression models predicted problem gambling with measures of intrapersonal, interpersonal, organizational, and societal spheres. Spanish participants had the highest SOGS score for problem gambling. Out of the spheres, organizational-sphere measures best explained the variation in problem gambling in all countries (26%) when compared to the societal (3%), interpersonal (5%) and intrapersonal (11%) spheres. In the full model, organizational-sphere measures had strong associations with problem gambling. These included consumer debt, online gambling community participation, online casino participation, and exposure to online pop-up advertisements. Other robust predictors of problem gambling included conformity to group norms in the interpersonal sphere and male gender and impulsivity in the intrapersonal sphere. Cross-national results were similar in different countries. The online context plays a major role in problem gambling behavior. The social ecological model is a useful tool by which to tackle problem gambling and develop preventative measures.