The investigation of the interface between psychological constructs, compulsive consumption of alcohol and pathological gambling is an important avenue for development of future initiatives in social marketing or prevention programs. This cross-cultural study attempts to bridge the gap in literature by providing an evaluation of the predictive ability of psychological variables such as gambling urge, gambling-related erroneous cognitions and comorbid alcohol consumption on pathological gambling behaviour and its impact on overall quality of life indicators. Participants consist of 445 Macao and Australian young adults (Mean age = 23 years). Results indicate that probable pathological gamblers as compared with non-gamblers reported significantly lower quality of life in all domains—physical health, psychological well-being, social relationships and environment. Adults who drank more alcohol and have stronger erroneous cognitions evidenced higher pathological gambling behavior. Our research model fits both cohorts and interestingly, erroneous gambling-related cognitions serve as a full mediator for the predictive relationship between gambling urge and pathological gambling in the Macao sample, but serve as a partial mediator in the Australian sample. Targeting erroneous cognitions in future social marketing or preventive campaigns should demonstrate to be an important strategy in reducing the effects of urge to gamble among at-risk individuals. Further implications for the industry, marketing and governmental strategies are discussed.