The aim of the present study was to examine the relationship between problem gambling severity and decision-making situations that vary in two degrees of uncertainty (probability of outcome is known: decision-making under risk; probability of outcome is unknown: decision-making under ambiguity). For this purpose, we recruited 65 gamblers differing in problem gambling severity and 35 normal controls. Decision-making under ambiguity was assessed with the Iowa Gambling Task (IGT) and the Card Playing Task (CPT). Decision-making under risk was assessed with the Coin Flipping Task (CFT) and the Cups Task. In addition, we included an examination of two working memory components (verbal storage and dual tasking). Results show that problem gamblers performed worse than normal controls on both ambiguous and risky decision-making. Higher problem gambling severity scores were associated with poorer performance on ambiguous decision-making tasks (IGT and CPT) but not decision-making under risk. Additionally, we found that dual task performance correlated positively with decision-making under risk (CFT and Cups tasks) but not with decision-making under ambiguity (IGT and CPT). These results suggest that impairments in decision-making under uncertain conditions of problem gamblers may represent an important neurocognitive mechanism in the maintenance of their problem gambling.