We aimed to estimate the incidence of a first episode of problem gambling among Swedish 16-24 year-olds by demographic and socio-economic characteristics, and to compare the incidence between 16-24 and 25-44 year-olds, and between young women and men. Other aims were to estimate the proportions of recovery and incidence in recurrent problem gambling, and prevalence of problem gambling among 16-44 year-olds in Sweden. We selected 4,358 participants aged 16-44 from the nationally representative Swedish Longitudinal Gambling Study in 2008/2009 and 2009/2010. The primary outcome measure was a first episode of problem gambling during 12 months before the follow-up as measured by the Problem Gambling Severity Index among participants without a history of problem gambling at baseline. The incidence proportion of a first episode of problem gambling among 16-24 year-olds was 2.26% (95% confidence interval 1.52-3.36); three times lower among females (1.14; 0.42-3.07%) than males (3.32; 2.19-5.01%). Young age and household financial problems were associated with first episode problem gambling among young women. Among 25-44 year-olds, the incidence proportion of a first episode of problem gambling was 0.81% (0.41-1.56). Recovery from problem gambling was high, in particular among females. Individual transitions from problem gambling to recovery and to recurrent problem gambling, between baseline and follow-up, were common regardless of age. This study adds further evidence to research suggesting that there is a high mobility in and out of problem gambling over time on an individual level. The high incidence of first episode problem gambling among youth in Sweden stresses the importance of prevention of problem gambling at an early age.