A non-random sample of 560 Italian high school students completed a questionnaire consisting of demographic items and questions about gambling behaviour, motivations, and perceived social, self-regulatory, and academic self-efficacy. Among these participants, 49 of them were classified as at-risk gamblers, 21 as problem gamblers, and the rest as non-at-risk/problem gamblers or non-players. Chi-square tests showed that gambling, several game types, some motivations to gamble, and at-risk/problem gambling were more common among males than females. Logistic regression was employed to predict the risk of being an at-risk/problem gambler and results showed that medium and high levels of self-efficacy halves this risk; however, the halving of the risk was not statistically significant with respect to perceived academic self-efficacy. It was concluded that the three forms of self-efficacy taken into consideration can be protective factors for at-risk/problem gambling.