There is some uncertainty on how to best conceptualise and measure problem gambling and debate as to whether it is helpful to differentiate the behavioral features of problematic gambling from the negative consequences of gambling. The current study explores this issue by examining the factor structure of a commonly-used problem gambling measure, the Problem Gambling Severity Index (PGSI), as administered to respondents in the 2018 Northern Territory Gambling Prevalence and Wellbeing Survey (n = 3,740 gamblers). Confirmatory factor analyses revealed a two-factor solution offered significant improvement in fit over the one-factor model. Further, the two factors explained unique variance in the number of gambling-related harms experienced by respondents. Although the two factors were highly correlated, the current findings indicate problem gambling behaviors are related to the negative consequences of gambling, but these are not necessarily synonymous. This suggests isolating behavioral and consequential elements of gambling may have utility in public health interventions for gambling that, while concerning, falls below a clinically-significant threshold. Similarly, clinically-oriented research may benefit by measuring the behavioral features, as these components are important targets for individual-level interventions.