Gambling is an international phenomenon, posing a serious threat to adolescents who begin gambling at a young age. This study aims, to explore gambling behavior in adolescents and interpret its risk factors. We conducted a three-waves cohort longitudinal study assessing gambling and associated risk factors in south-eastern Spain. Data were analyzed using the Capabilities, Opportunities, Motivations, Behavior (COM-B) model and the partial least squares path modelling (PLS-PM) technique. Gambling was measured by frequency and money spent; associated factors were knowledge about gambling, parental attitude towards gambling, risk perception, normative perception, and intention to gamble. These items were assigned as indicators of each construct of the COM-B model—capability, opportunity, motivation, and behavior—using the theoretical domains framework. Once the behavior was performed, feedback on future capability, opportunity, and motivation was observed. Results show that capability, determined by past experience, and opportunity, determined by parental attitudes, motivates adolescents to seek gambling experiences in the future. Identifying such factors that affect gambling behavior in adolescents and establishing relationships between them through a robust theoretical model is essential for designing effective interventions.