Gambling is a widespread form of entertainment that may afford unique insights into the interaction between cognition and emotion in human decision-making. It is also a behaviour that can become harmful, and potentially addictive, in a minority of individuals. This article considers the status of two dominant approaches to gambling behaviour. The cognitive approach has identified a number of erroneous beliefs held by gamblers, which cause them to over-estimate their chances of winning. The psychobiological approach has examined case-control differences between groups of pathological gamblers and healthy controls, and has identified dysregulation of brain areas linked to reward and emotion, including the ventromedial prefrontal cortex (vmPFC) and striatum, as well as alterations in dopamine neurotransmission. In integrating these two approaches, recent data are discussed that reveal anomalous recruitment of the brain reward system (including the vmPFC and ventral striatum) during two common cognitive distortions in gambling games: the near-miss effect and the effect of personal control. In games of chance, near-misses and the presence of control have no objective influence on the likelihood of winning. These manipulations appear to harness a reward system that evolved to learn skill-oriented behaviours, and by modulating activity in this system, these cognitive distortions may promote continued, and potentially excessive, gambling.