‘Near-miss' outcomes (i.e., unsuccessful outcomes close to the jackpot) have been shown to promote gambling persistence. Although there have been recent advances in understanding the neurobiological responses to gambling near-misses, the psychological mechanisms involved in these events remain unclear. The goal of this study was to explore whether trait-related gambling cognitions (e.g., beliefs that certain skills or rituals may help to win in games of chance) influence behavioural and subjective responses during laboratory gambling. Eighty-four individuals, who gambled at least monthly, performed a simplified slot machine task that delivered win, near-miss, and full-miss outcomes across 30 mandatory trials followed by a persistence phase in extinction. Participants completed the Gambling-Related Cognitions Scale (GRCS; Raylu & Oei, 2004), as well as measures of disordered gambling (South Oaks Gambling Screen [SOGS]; Lesieur & Blume, 1987) and social desirability bias (DS-36; Tournois, Mesnil, & Kop, 2000). Skill-oriented gambling cognitions (illusion of control, fostered by internal factors such as reappraisal of losses, or perceived outcome sequences), but not ritual-oriented gambling cognitions (illusion of control fostered by external factors such as luck or superstitions), predicted higher subjective ratings of desire to play after near-miss outcomes. In contrast, perceived lack of self-control predicted persistence on the slot machine task. These data indicate that the motivational impact of near-miss outcomes is related to specific gambling cognitions pertaining to skill acquisition, supporting the idea that gambling near-misses foster the illusion of control.