Previous research has shown that individuals with substance use disorder equally value small and large magnitude rewards. This has led some researchers to conceptualize the problematic behaviors associated with this disorder as being, at least in part, caused by a deficiency in processing reward stimuli. Considering the documented similarities between substance use disorder and disordered gambling, the current study sought to investigate whether problem gamblers also display such an aberrant pattern of incentive processing. Skin conductance responses (SCRs) to small and large magnitude wins were recorded from 16 problem gamblers (PGs) and 16 healthy controls (HCs) while they completed a computer‐simulated electronic gaming machine task. The results show that, while large wins elicited greater SCRs compared to small wins for the HC group, no difference in SCR amplitude was found following large and small wins in the PG group. These findings suggest that problem gamblers may be less effective at evaluating the value of incentives, and are discussed in terms of relevant theoretical frameworks.