This study examined the effects of adolescents' stress coping behavior on gambling addiction using the irrational belief of gambling as a mediating variable. For this, a questionnaire survey was conducted on 377 high school students in Jeju. Data processing analysis of the research was verified by Baron & Kenny's regression analysis in 4 phases and a Sobel Test was done to verify the significance level on the mediation effect. The study results can be summarized as follows. First, while problem-focused coping had a negative (-) correlation with gambling addiction, emotion-focused coping had a positive (+) correlation with gambling addiction. Second, the irrational belief of gambling had no mediating effects on the relationship between problem-focused coping and gambling addiction. Third, the irrational belief of gambling had a full mediating effect on the relationship between emotion-focused coping and gambling addiction. In conclusion, emotion-focused coping under stress situations would enhance the gambling behavior by increasing the irrational belief of gambling. Therefore, it is necessary to develop programs to improve the adolescents' stress coping skills and rationally correct their irrational belief of gambling, which will be helpful in preventing adolescents' gambling addiction. The limitations of this study are discussed together with suggestions for future research.