This study was conducted to examine the effects of the near miss, when a player almost wins, and the big win, a large early monetary gain, on persistence at slot machine gambling. One hundred eighty male and female undergraduates played a 4-wheel computerized slot machine. A 2 X 3 randomized factorial design and an acquisition-extinction procedure were used. The dependent variable, persistence, was defined by the number of trials in the extinction phase. As hypothesized, the near miss had a statistically significant effect on the number of trials in extinction. An inverted U-shaped effect of the near miss showed that the 30% near miss condition led to the greatest persistence, as compared to 45% and 15% near miss conditions. There was no statistically significant effect of the big win. Both cognitive and behavioral theories are discussed as explanations for effects of the near miss.