Gambling disorder (GD) is characterized by continual gambling despite negative consequences. Risky decision-making is a hallmark of the disorder. We applied a tool from behavioral economics for assessing probability cognition in both gain and loss domains to GD. We aimed to examine the alteration of probability cognition and its relationship with brain structure in GD. Forty-six GD patients and 52 age-matched healthy controls (HCs) conducted a risky choice task in which subjects should choose between a sure and a risky option in both loss and gain domains. The distortion and elevation parameters of the probability weighting function were estimated. We compared the parameters between GD and HC and examined their relationships with the striatum and amygdala volumes in GD. GD showed greater elevation parameter in the gain domain and smaller regional gray matter volume in the left amygdala than HC. The elevation parameter in the gain domain showed a negative correlation with the left amygdala volume in GD. Altered probability cognition in the gain domain but not in the loss domain might be more relevant to risky decision-making in GD. Our findings indicate that alteration in the amygdala might play a significant role in risky decision-making of GD. Longitudinal studies are recommended to examine the causal relationship between brain abnormalities and risky decision-making in GD.