Gambling-related cognitions and negative psychological states have been proposed as major factors in the initiation and maintenance of problem gambling (PG). While there are a substantial number of studies supporting the role of cognitive dysfunctions in the initiation and maintenance of PG, very few empirical studies have explored the specific role of negative psychological states in influencing PG behaviours. In addition, very few studies have examined the interaction effects of cognitive dysfunctions and negative psychological states in exerting influence on PG behaviours. Therefore, the present study aims to examine the main and interaction effects of gambling-related cognitions and psychological states on the gambling severity among a group of problem gamblers in Hong Kong. A cross-sectional research design was adopted. A purposive sample of 177 problem gamblers who sought treatment from a social service organization in Hong Kong completed a battery of standardised questionnaires. While gambling-related cognitions were found to exert significant effects on gambling severity, negative psychological states (i.e. stress) significantly moderated the relationship between gambling cognitions and gambling severity. In essence, those participants who reported a higher level of stress had more stable and serious gambling problems than those who reported a lower level of stress irrespective of the level of gambling-related cognitions. The findings of the moderating role of negative emotions in the relationship between cognitive distortions and severity of gambling provide insight towards developing an integrated intervention model which includes both cognitive-behavioural and emotion regulation strategies in helping people with PG.