Understanding how emotion regulation and gambling-related cognitive distortions relate to gambling problems has direct relevance for problem gambling prevention and treatment. Although these factors have been identified as robust psychological correlates for problem gambling, the interplay between emotional regulation and cognitive biases in influencing problem gambling behaviours is yet to be fully understood. Accordingly, this study examined the explanatory role of cognitive distortions in the association between emotion regulation difficulties and problem gambling behaviours and also explored the interaction between emotion regulation and cognitive distortions in predicting gambling severity. A total of 301 adults (182 males and 119 females; age range: 18–71 years, M = 32.62, SD = 10.03) completed an online questionnaire comprising measures of emotional regulation difficulties, gambling-related beliefs and problem gambling severity. Analyses revealed that emotion regulation difficulties and erroneous gambling beliefs were positively related to problem gambling severity. Further, cognitive distortions partially accounted for the relationship between emotional regulation difficulties and problem gambling, although emotion regulation retained a direct relationship with problem gambling. There was no interaction between emotional regulation and cognitive distortions. The findings indicate that emotion regulation may serve as a precursor to the development of cognitive distortions, while also directly influencing problem gambling. Implications for assessment and treatment of problem gambling are discussed.