Purpose We aimed to examine the association between school grades at the age of 16 years and problem gambling at the age of 17–25 years among Swedish females and males. Methods In a cohort design, we followed the 16- to 24-year-old participants in the representative Swedish Longitudinal Gambling Study for 2 years, 2008/2009 and 2009/2010, generating 3,816 person-years of follow-up time. The outcome, incidence of mild and moderate/severe gambling problems, was measured by the Problem Gambling Severity Index in telephone interviews. The exposure was register-linked information about final grades in compulsory school. The association between school grades and problem gambling was estimated in multinomial logistic regressions. Results Low and average school grades were associated with increased incidence of mild and moderate/severe problem gambling compared to high grades, adjusted for sociodemographic characteristics, psychological distress, and alcohol use. Low grades, compared to high grades, were associated with a higher risk of mild gambling problems for adolescent males, whereas the incidence proportion of moderate/severe problem gambling was high for males aged 20–25 years with low grades, among whom unemployment was also very high. Furthermore, we found a strong and graded association between school grades and moderate/severe problem gambling for women in both age groups, despite a low prevalence of gambling participation among females compared to males. Conclusions Our findings show that Swedish youth with low school achievement have an increased risk of gambling problems up to 8 years after school graduation, after control for confounding from sociodemographic characteristics, psychological distress, and alcohol use, and that this association is stronger for females than males.