A risk factor of gambling disorder (GD) is stressful life events. However, not all people who experience stressful life events and who gamble have GD. The aim of this study was to determine the role of several psychological factors in the relationship between stressful life events and GD. Specifically, this study investigated the role of erroneous gambling beliefs, difficulty in emotion regulation, and self-control. Survey data from 290 Australian adults who had gambled in the past 12 months were analysed. Erroneous gambling beliefs and difficulty in emotion regulation were found to mediate the relationship between stressful life events and GD. However, self-control did not. These results suggest that people who experience more stressful life events are more likely to have erroneous gambling beliefs and to struggle with regulating their emotions. Consequently, they are more vulnerable to the development of GD.