Currently, cognitive behavioral therapies appear to be one of the most studied treatments for gambling problems and studies show it is effective in treating gambling problems. However, cognitive behavior models have not been widely tested using statistical means. Thus, the aim of this study was to test the validity of the pathways postulated in the cognitive behavioral theory of gambling behavior using structural equation modeling (AMOS 20). Several questionnaires assessing a range of gambling specific variables (e.g., gambling urges, cognitions and behaviors) and gambling correlates (e.g., psychological states, and coping styles) were distributed to 969 participants from the community. Results showed that negative psychological states (i.e., depression, anxiety and stress) only directly predicted gambling behavior, whereas gambling urges predicted gambling behavior directly as well as indirectly via gambling cognitions. Avoidance coping predicted gambling behavior only indirectly via gambling cognitions. Negative psychological states were significantly related to gambling cognitions as well as avoidance coping. In addition, significant gender differences were also found. The results provided confirmation for the validity of the pathways postulated in the cognitive behavioral theory of gambling behavior. It also highlighted the importance of gender differences in conceptualizing gambling behavior.