Background: The causal relationships between two specific types of problematic use in internet-related activities [i.e., problematic social media use (PSMU) and problematic gaming (PG)] and psychological distress remain controversial. The present study investigated the temporal relationships between PSMU, PG, and psychological distress (i.e., anxiety, depression) in university students. Methods: Hong Kong and Taiwan university students [N = 645; nmale = 266; mean = 20.95 years (SD = 5.63)] were recruited for a survey study, with follow-ups at 3, 6, and 9 months after baseline assessment. The Bergen Social Media Addiction Scale, Internet Gaming Disorder Scale-Short Form, and the Hospital Anxiety and Depression Scale were used to assess studied variables. Demographics including age, physical characteristics (i.e., height, weight, and body mass index), and cigarette use were compared between participants who completed all the follow-ups and those who dropped out. Random intercept cross-lagged models were constructed to understand the reciprocal relationships between PSMU, PG, and psychological distress. Results: No significant differences were found in age, physical characteristics, and cigarette use between participants who completed all the follow-ups and those who dropped out. Findings indicated that a high level of PSMU significantly increased the level of anxiety and a high level of anxiety significantly increased the level of PSMU. A high level of PSMU significantly increased the level of depression but the level of depression did not significantly affect the level of PSMU. A high level of PG significantly increased the level of anxiety, but the level of anxiety did not significantly affect the level of PG. A high level of depression significantly increased the level of PG, but the level of depression did not significantly affect the level of PG. Conclusion: The patterns of the causal relationship between PIU and psychological distress variables differ. A reciprocal relationship was only found between the level of PSMU and the level of anxiety. Moreover, the longitudinal design found no differences in the waves in terms of gaming by the participants.