Protective behavioural strategies represent a harm reduction approach that individual gamblers can implement to reduce harm associated with gambling. This review evaluated the empirical evidence to date on the effectiveness of protective behavioural strategies in gambling. The strategies reviewed encompass four broad categories: self-exclusion (a requested ban from a gambling venue), time limit setting, monetary limit setting, and cashless, card-based gambling programs. There were also five strategies that did not fall into one of these categories. The amount of evidence available was limited for the majority of strategies; the evidence for self-exclusion was the most promising, but results were inconsistent across studies. The quality of the evidence was also low, and there were numerous limitations that affect the generalizability of results and the inferences that can be made. For these reasons, few evidence-based recommendations for clinicians could be made at this time. Finally, this review provides rationale and recommendations for additional research in protective behavioural strategies in the gambling context.