Responsible gambling (RG) refers to a set of protective strategies aiming at containing the negative consequences associated with gambling. To improve the effectiveness of RG, it is essential to understand factors influencing gamblers’ adherence to RG. Past literatures on addictive behaviors have demonstrated that one’s self-efficacy and self-esteem are associated with the adherence to protective behaviors of the specific addictive behaviors. The present study aims to test whether gamblers’ self-esteem and RG self-efficacy can be applied to explain their adherence to protective gambling behaviors. Two hundred and thirty-six past-year gamblers were randomly selected to take part in a phone survey. Path analysis showed that both gamblers’ RG self-efficacy and self-esteem were positively associated with gamblers’ RG behaviors, while RG behaviors were negatively linked to the problem gambling tendency. The findings provided insight into potential promotion and intervention strategies based on self-esteem and self-efficacy and those strategies may be adopted in the primary prevention of gambling disorder.