This article offers an understanding of and reduces gaps in the existing literature regarding cognitive distortion (e.g. gambling fallacy) and problem gambling behaviour. The primary objective of this study is to develop a valid gambling fallacy scale for the South Korean population using qualitative and quantitative methods to thoroughly understand the underlying structure of erroneous beliefs towards gambling among recreational and problem gamblers. The study interviewed eight casino supervisors and dealers and conducted online (n = 1419 gamblers) and onsite surveys (n = 400 gamblers) in South Korea. The proposed scale satisfies reliability and numerous types of validity that provide evidence on the three distinctive underlying structures of gambling fallacy (i.e. a system to win, superstitions, and follow and blame) among the Korean population. This study carries substantial theoretical and practical implications that further assure its usability as a platform for developing scales in various cultural settings.