To analyse problem gamblers decision-making under conditions of risk and ambiguity, investigate underlying psychological factors associated with their choice behaviour and examine whether decision-making differed in strategic (e.g. sports betting) and non-strategic (e.g. electronic gaming machine) problem gamblers. Design: Cross-sectional study. Setting: Out-patient treatment centres and university testing facilities in Victoria, Australia. Participants: Thirty-nine problem gamblers and 41 age, gender and estimated IQ-matched controls. Measurements: Decision-making tasks included the Iowa Gambling Task (IGT) and a loss aversion task. The Prospect Valence Learning (PVL) model was used to provide an explanation of cognitive, motivational and response style factors involved in IGT performance. Findings: Overall, problem gamblers performed more poorly than controls on both the IGT (P=0.04) and the loss aversion task (P=0.01), and their IGT decisions were associated with heightened attention to gains (P=0.003) and less consistency (P=0.002). Strategic problem gamblers did not differ from matched controls on either decision-making task, but non-strategic problem gamblers performed worse on both the IGT (P=0.006) and the loss aversion task (P=0.02). Furthermore, we found differences in the PVL model parameters underlying strategic and non-strategic problem gamblers choices on the IGT. Conclusions: Problem gamblers demonstrated poor decision-making under conditions of risk and ambiguity. Strategic (e.g. sports betting, poker) and non-strategic (e.g. electronic gaming machines) problem gamblers differed in decision-making and the underlying psychological processes associated with their decisions.