Gambling Disorder (GD) is a prominent psychiatric disorder affecting individuals worldwide. Research suggests that key risk factors for GD include stressful life events (SLEs) and specific psychological factors, such as gambling-related cognitive distortions. The present study investigated the potential mediating role of specific psychological factors (i.e., gambling-related cognitive distortions, difficulty in emotion regulation, and self-control) in the relationship between SLEs and GD. A cross-sectional study using an online survey was developed to investigate the relationship between SLEs and GD in a mediation model. A total of 516 participants were initially recruited online to the present study, and data from 290 participants were fully included in the statistical analyses conducted. Sociodemographic and gambling-related data were collected in addition to data related to participants’ SLEs, GD, gambling-related cognitive distortions, difficulty in emotion regulation, and self-control. The results of the parallel multiple mediation analysis conducted found that gambling-related cognitive distortions and difficulty in emotion regulation mediated the relationship between SLEs events and GD. However, self-control was not found to mediate this relationship. The findings suggest that individuals who experience SLEs may be more vulnerable to the development of GD through their belief in gambling-related cognitive distortions and experience of difficulty regulating their emotions. Implications regarding potential preventive efforts for GD are discussed. Supplementary Information The online version contains supplementary material available at 10.1007/s10899-022-10151-5.