Causal learning is the ability to progressively incorporate raw information about dependencies between events, or between one’s behavior and its outcomes, into beliefs of the causal structure of the world. In spite of the fact that some cognitive biases in gambling disorder can be described as alterations of causal learning involving gambling-relevant cues, behaviors, and outcomes, general causal learning mechanisms in gamblers have not been systematically investigated. In the present study, we compared gambling disorder patients against controls in an instrumental causal learning task. Evidence of illusion of control, namely, overestimation of the relationship between one’s behavior and an uncorrelated outcome, showed up only in gamblers with strong current symptoms. Interestingly, this effect was part of a more complex pattern, in which gambling disorder patients manifested a poorer ability to discriminate between null and positive contingencies. Additionally, anomalies were related to gambling severity and current gambling disorder symptoms. Gambling-related biases, as measured by a standard psychometric tool, correlated with performance in the causal learning task, but not in the expected direction. Indeed, performance of gamblers with stronger biases tended to resemble the one of controls, which could imply that anomalies of causal learning processes play a role in gambling disorder, but do not seem to underlie gambling-specific biases, at least in a simple, direct way.