Accurate and rational gambling beliefs have been found to play a protective role against gambling disorder (GD) and add unique insights into the prevention and intervention of gambling-related harms. Adopting the Protective Gambling Beliefs Scale (PGBS) as a measurement tool of these gambling beliefs, this study tested its psychometric properties and whether these gambling beliefs were associated with responsible gambling (RG) behaviors with a probability community sample of adult gamblers (N = 464) in Macao, China. Consistent with the past studies, PGBS was found unidimensional with high reliability. The construct validity of PGBS was verified by its negative associations with gambling-related interpretive biases and GD symptoms. Moreover, we found a significant and positive association between protective gambling beliefs and RG behaviors after controlling for the effects of gambling-related interpretive biases and demographic variables. Conventional approaches to gambling harm reduction focus more on maladaptive cognition. Our findings may offer empirical evidence that protective gambling beliefs also help reduce gambling-related harms and enable gamblers to keep their gambling at a relatively safe level. PGBS is not only a valid and reliable instrument to measure gamblers’ protective gambling beliefs but also a potential means to promote RG practices.