Since its introduction in 1977, self-efficacy has proven to be a fundamental predictor of positive adjustment and achievement in many domains. In problem gambling studies, self-efficacy has been defined mainly as an individual's ability to avoid gambling in risky situations. The interest in this construct developed mainly with regard to treatment approaches, where abstinence from gambling is required. Very little is known, however, regarding self-efficacy as a protective factor for problem gambling. This study aims to fill this gap, proposing a new self-efficacy scale which measures not only the ability to restrain oneself from gambling but also the ability to self-regulate one's gambling behavior. Two studies were conducted in which the data from two Italian prevalence surveys on problem gambling were considered. A total of about 6,000 participants were involved. In the first study, the psychometric characteristics of this new self-efficacy scale were investigated through exploratory and confirmatory factor analyses. The results indicated the presence of two different factors: self-efficacy in self-regulating gambling behavior and self-efficacy in avoiding risky gambling behavior. The second study confirmed the replicability of the two-factor solution and displayed high correlations among these two self-efficacy dimensions and different measures of gambling activities as well as other psychological variables related to gambling (gambling beliefs, gambling motivation, risk propensity, and impulsiveness). The results of logistic regression analyses showed the particular importance of self-regulating gaming behavior in explaining problem gambling as measured by Problem Gambling Severity Index and South Oaks Gambling Screen, thus proving the role of self-efficacy as a pivotal protective factor for problem gambling.