Self-exclusion programs are required to be provided by gambling operators in many international jurisdictions in an attempt to provide an option for those who have gambling problems to avoid further gambling. However, minimal robust and comprehensive research has been conducted to evaluate the effectiveness of self-exclusion programs. There is much scope for reform and greater cohesion between jurisdictions, particularly neighbouring jurisdictions that would offer greater protection to individuals and industry bodies. This review outlines the evidence surrounding existing self-exclusion strategies, the benefits and limitations of such programs, and provides potential recommendations for an effective intervention program. Research suggests that self-exclusion programs are under-utilised by problem gamblers and are not completely effective in preventing individuals from gambling in venues from which they have excluded, or on other forms. Nonetheless, self-report indicates that self-excluders generally experience benefits from programs, including decreased gambling and increased psychological wellbeing and overall functioning. There are many areas in which existing programs could be improved, such as providing more resources for excluded individuals and reducing barriers to program entry, and more research is needed. However, self-exclusion programs are an important component of any public health strategy that aims to minimise gambling-related harms and these should be based as far as possible on empirical evidence for effective program components.