There is a very narrow body of research on online gambling using neuromarketing techniques to capture cognitive and emotional responses of gamblers to different marketing approaches regarding gambling products and services. The present study used neuromarketing techniques (electroencephalography—EEG and photoplethysmography—PPG) to develop an exploratory physiological analysis of gambling. The main purposes of the study were to understand how different personality characteristics, using the Myers-Briggs personality Type Indicator, and different gambling habits respond to diverse imposed stimuli, and how their physiological signals differ during gambling related activities. For the experiment, 61 subjects aged between 18 and 25 years old, 22 females and 39 males, were exposed to different stimuli related to gambling. The participants were asked to watch three gambling-themed videos and to respond to two surveys about their gambling habits. The results show that gender had the greatest expression in this study, indicating that women have less interest and are usually less willing to take risks while gambling than men. Regarding the subjects’ personalities, the conclusions showed that the perceptives (P) tend to be more impulsive than judges (J) when gambling. Finally, in relation to gambling habits, it was observed that gamblers tend to present higher heart rate levels, which may indicate that gamblers showed higher arousal levels during gambling related activities.