In contrast to conventional cognitive training paradigms, where learning effects are specific to trained parameters, playing action video games has been shown to produce broad enhancements in many cognitive functions. These remarkable generalizations challenge the conventional theory of generalization that learned knowledge can be immediately applied to novel situations (i.e., immediate generalization). Instead, a new “learning to learn” theory has recently been proposed, suggesting that these broad generalizations are attained because action video game players (AVGPs) can quickly acquire the statistical regularities of novel tasks in order to increase the learning rate and ultimately achieve better performance. Although enhanced learning rate has been found for several tasks, it remains unclear whether AVGPs efficiently learn task statistics and use learned task knowledge to guide learning. To address this question, we tested 34 AVGPs and 36 non-video game players (NVGPs) on a cue-response associative learning task. Importantly, unlike conventional cognitive tasks with fixed task statistics, in this task, cue-response associations either remain stable or change rapidly (i.e., are volatile) in different blocks. To complete the task, participants should not only learn the lower-level cue-response associations through explicit feedback but also actively estimate the high-level task statistics (i.e., volatility) to dynamically guide lower-level learning. Such a dual learning system is modelled using a hierarchical Bayesian learning framework, and we found that AVGPs indeed quickly extract the volatility information and use the estimated higher volatility to accelerate learning of the cue-response associations. These results provide strong evidence for the “learning to learn” theory of generalization in AVGPs. Taken together, our work highlights enhanced hierarchical learning of both task statistics and cognitive abilities as a mechanism underlying the broad enhancements associated with action video game play.