The agency said in one case, someone on the list was successful in obtaining a license for explosives, The Washington Post reported Tuesday.
The GAO report, commissioned by U.S. lawmakers, found that people on the list purchased guns 865 times in 963 attempts during a five-year period ending in February, the Post said.
The audit was released Monday by Sen. Frank Lautenberg, D-N.J., and Reps. John Conyers, D-Mich., and Robert Scott, D-Va., as Lautenberg introduced a bill that would allowed the U.S. attorney general to halt the sale of guns or explosives to those suspected of terrorism.
"The special interest gun lobby has so twisted our nation's laws that the rights of terrorists are placed above the safety of everyday Americans," Lautenberg said in a statement. "The current law simply defies common sense."
The National Rifle Association opposes the measure, telling the Post the watch list contains errors and "law-abiding Americans should not be treated like terrorists."