People with problem gambling (PG) rarely get help from a therapist. Self-management strategies are strategies that people use on their own to manage their PG. The authors reviewed 31 studies that investigated self-management strategies used by adults with PG. They identified 24 self-management strategies, which could be grouped into four categories. Most of the studies examined behavioural strategies including self-exclusion and limiting time and money spent on gambling. Another common strategy was the use of workbooks. More research is needed to explore whether certain self-management strategies work better for certain groups of people.