Perception of the consequences of risk affects motivation and behaviour. In gambling, distorted expectations and preferences towards outcomes are associated with significant social and clinical harms. A systematic review was conducted to examine the relationship between gambling risk perception and behaviour. Sixteen studies met inclusion criteria. Studies provided evidence that disordered gamblers hold both more optimistic overall perceptions of risk, and a mixture of more positive and more negative specific outcome expectations. Preliminary evidence suggests a range of contextual and individual differences moderate risk perception affecting decision-making. Disordered gamblers appear to sustain motivation to gamble, despite more negative expectations and experiences, via cognitive processes that result in preferential emphasis on positive over negative outcomes. Given potential differences in the perception of risk between various categories of gamblers, clinicians should take into account how gamblers in treatment view gambling as a risky behaviour. Improving the accuracy of such perceptions may reduce the propensity for risk-taking behaviours.