Geographic accessibility has been linked to gambling behavior, but little is known about whether the perception of gambling availability in both offline and online venues is prospectively associated with adolescent gambling behavior. Further, relatively few studies have analyzed the interaction between environmental and individual factors in explaining adolescent gambling and problem gambling. This prospective study examined the association between perceived gambling availability, gambling frequency, and problem gambling among 554 adolescents aged 13–17 years (mean = 15.1, female 47.4%) and explored the moderating role of self-efficacy to control gambling in these associations. Participants completed assessments of perceived gambling availability and gambling self-efficacy at baseline. Gambling frequency and problem gambling were measured at follow-up. Two separate hierarchical regression models were applied to analyze the relationship of perceived gambling availability with gambling behavior and the moderating role of gambling self-efficacy. Results showed that a greater perception of gambling availability was associated with a higher gambling frequency and more problem gambling in adolescents. The impact of perceived gambling availability on gambling frequency and problem gambling was lower among participants with moderate gambling self-efficacy in comparison with participants with low gambling self-efficacy. In those adolescents with high self-efficacy to control gambling, perceived gambling availability was not associated either with gambling frequency or problem gambling. These results suggest the usefulness of implementing regulatory policies aimed at reducing gambling availability in adolescents, and the design of preventative interventions aimed at enhancing self-efficacy to control gambling.