To be effective in the prevention of adolescent problem gambling, it is fundamental to enhance knowledge about the antecedents of gambling problem severity and the mechanisms through which these dimensions are related to problematic gambling behavior. This study aimed at testing how selected cognitive (correct knowledge of gambling and gambling-related cognitive distortions) and affective (positive economic perception of gambling and expectation and enjoyment and arousal towards gambling) variables are related to gambling frequency and gambling problem severity. Problem gambling was conceptualized as Gambling Disorder symptoms according to the last edition of the DSM. Participants were 447 Italian high school students (68% males, mean age = 16.8, SD = 0.84). Structural Equation Models (SEMs) conducted with adolescent gamblers attested two indirect effects from knowledge to problem gambling: One through gambling-related cognitive distortions and one through gambling frequency. Overall, results confirmed that adolescent problem gambling is a complex phenomenon explained by multiple and different factors. Practical implications for preventive efforts are discussed.