This dissertation presents four studies investigating the relationship between cognitive biases and gambling. The central question in this thesis concerns how gambling cognitions promote further gambling. In the first study, the relationship between gambling-related cognitions and gambling preferences was examined. Results indicated that people who prefer to play electronic gambling machines tend to use faulty strategies during gameplay. In the second study, a novel application of a heuristics and biases test was used to evaluate whether faulty decision making can predict problem gambling. Results found that problem gamblers tend to hold more heuristics and cognitive biases than non-problem gamblers. In the third study, a specific cognitive bias—the near-miss effect—was investigated using eye-gaze recordings. The aim of study 4 was to build on the position of the first three studies and obtain an objective measure demonstrating how people can learn that near-misses are meaningful and the subsequent effect holding this cognitive bias has on gambling. Results indicate that eye gaze is an objective way to measure preference for near-misses and that this preference can be diminished with stimulus equivalence training. The thesis concludes with a discussion of the theoretical and practical implications arising from the series of studies.