Our study hypothesizes that Thai amateur golfers gamble on their game because of peer pressure and their golf self-efficacy. To support our hypothesis, we conducted a study to examine the mediating effect of golf self-efficacy on the peer pressure–golf gambling relationship among 387 amateur golfers in Thailand. Peer pressure was operationally defined as fellow players’ influence on the individual golfer to gamble; golf self-efficacy as the judgment of the golfer’s skills to play golf; and golf gambling as the frequency and amounts of gambling. Regression analysis with bootstrapping was used to test the mediation effect of golf self-efficacy on the peer pressure–golf gambling relationship. The results support our hypothesis; peer pressure predicted golf gambling, and the indirect effect of peer pressure to golf gambling through the mediation of golf self-efficacy was significant. The results support the influence of peer pressure on gambling, and the social cognitive theory reciprocal relationship model.