Considering the low levels of empathy associated with substance-related addictions and the similarities between gambling disorder (GD) and substance-related addiction, understanding the relationship between empathy and GD may clarify the mechanism of addiction development. This scoping review aimed to evaluate the empirical evidence for the potential protective role of emotional and cognitive empathy against GD development via internalizing and/or externalizing pathways. We followed the preferred reporting items for systematic review and meta-analyses extension for scoping reviews and 11 articles met the inclusion criteria. Although most of the reviewed studies used correlational designs and non-gambling-specific samples, this review highlights (1) significant relationships between both types of empathy and the neural activity of gambling behaviors, and (2) reduced cognitive empathy (i.e., fantasy and perspective taking) and increased emotional empathy (i.e., personal distress) among problem gamblers than their gambling counterparts. Despite the lack of studies directly testing the protective role of empathy against GD, the existing studies (n = 8) nevertheless shed light on the potential protective effects of both types of empathy on GD development. This review identified research gaps, which can be addressed in future studies by discovering the underlying mechanisms (e.g., internalizing and externalizing pathways) of these relationships. Experimental or longitudinal studies in gamblers investigating how different types of empathy are associated with GD via these pathways are called for as their findings have implications for prevention and intervention designs for GD and other addictive disorders.