Applying a Markov switching model (MSM) to Las Vegas and Macao, this paper decomposes their business cycles of the casino hospitality industry into high and low growth states (HGS, LGS). Compared with Las Vegas, casino gaming in Macao is more volatile due to larger ups and downs in tourism flows, with HGS being far higher and LGS being much lower. Gaming hospitality in both travel destinations has a strong tendency to stay in HGS but a low chance of recovering from LGS. While the two cities’ hospitality cycles are desirably asymmetric, Las Vegas’s cycle seems more favorable than Macao’s. Furthermore, in this paper, MSM is incorporated into a structural regression to identify determinants of hospitality cycles and generate policy implications useful for decision-making. It is observed that local hospitality cycles are affected by external business cycles and other demand- or supply-side factors. It is necessary for Las Vegas to strengthen promotional marketing and for Macao to pursue industrial diversification.