Pathological gambling has severe consequences for adolescents and their families and friends. Despite its high prevalence, pathological gambling in adolescents has been insufficiently studied. Sensation seeking and impulsivity are two variables that are related to the appearance and maintenance of pathological gambling. However, few studies have determined the role these variables play in the development of the dysfunctional symptomatology of gambling behavior in adolescents and young adults. The aims of this study were to analyze the consequences of gambling in young adults and adolescents, and to evaluate the roles of sensation seeking and impulsivity in the appearance of dysfunctional symptomatology. The sample consisted of 1,241 young adults and adolescents recruited from scholar centers and free-time groups, as well as 71 subjects from associations that assist pathological gamblers. Pathological gambling, impulsive behavior, dysfunctional symptomatology and sensation seeking were assessed. The results confirmed that young adults and adolescents who gamble pathologically have more dysfunctional symptomatology related to anxiety, depression, hostility, obsessive–compulsive behavior and somatization, as well as sensation seeking, impulsivity and addictive behavior. Moreover, the results showed that sensation seeking did not mediate the appearance of dysfunctional symptomatology and that impulsivity partially mediated the appearance of anxiety, phobic anxiety, depression and psychosis and perfectly mediated somatization, obsessive–compulsive behavior, interpersonal sensitivity, paranoid ideation and hostility. These results have consequences for the development of treatment and prevention programs for adolescent pathological gambling.