A paintball gun having an internal pressure regulator is provided. The paintball gun includes a body, a launching tunnel, a rear lead shaft, the pressure regulator, and a back cover. A hollow barrel of the body allows the launching tunnel and the rear lead shaft to be accommodated successively therein. The pressure regulator is received in the rear lead shaft. The back cover is screwed to the body. Thereby, pressurized air coming from a gas cylinder is directly introduced to the pressure regulator so as for the paintball gun to dispense with any external air duct. Thus, the paintball gun poses no risk of duct burst and requires less assembling operation and fewer fixtures, thus reducing manufacturing costs.