This study examined the link between gambling-related cognitive distortions, gambling severity, gambling modality, and type of gambling among adolescents. A total of 209 adolescents (aged 14–18 years) who gambled in the past year and were enrolled in secondary education completed a survey. Gender-specific analyses found that, for males, cognitive distortions increased with more severe problem gambling. For females, cognitive distortions were higher among those who gambled online. For males, online gambling was linked to having more severe problem gambling directly as well as indirectly through cognitive distortions. Among females, online gambling was related to having more cognitive distortions. In turn, these cognitive distortions led to more severe problem gambling. But online gambling was not directly associated with more severe problem gambling.