Preventive efforts are necessary to reduce the risk for problem gambling among adolescents, especially among more at-risk youth. However, only a small proportion of the preventive initiatives implemented in the field of adolescent problem gambling are based on robust theoretical models and have been evaluated in their efficacy. By referring to the dual-process model of human functioning, especially to the mindware concept, the goal of this study was to develop and evaluate a school-based preventive intervention based on teaching probabilistic reasoning ability and explaining biases in reasoning with probability. Indeed, research with adolescents found that poor probabilistic reasoning ability is associated with gambling-related cognitive distortions that, in turn, are a risk factor for problem gambling. The study aim was to reduce gambling-related distortions by working on the concept of randomness and probability. A pre- and post-test design was performed with 72 adolescents randomly assigned to a Training group and a No Training group. Results showed a significant reduction of cognitive distortions at the post-test only in the Training group. Findings suggest that teaching probability can serve to reduce the susceptibility to gambling-related distortions and should be pointed out in the training process of the intervention providers in the gambling field.