Gambling is a relatively common activity in the Nordic countries, while the incidence and prevalence of problem gambling is relatively stable in this context. Social networks and relationships (e.g., gambling activities among family members and peers) have been put forward as relevant factors to consider when monitoring the epidemiological pathways in regard to gambling and problem gambling. The research on gambling and functional or qualitative aspect of networks and relationships (here labelled psychosocial factors), is however an important emerging area, warranting a synthesis of the evidence. We systematically reviewed the evidence on psychosocial risk factors in relation to gambling and problem gambling in Nordic gambling research. Included articles were identified through systematic searches in 10 scientific databases, covering the time period January 2000–July 2019. Following a systematic screening procedure, the final data set consisted of 21 original studies applying various statistical, interview or narrative methods. The review highlights both less researched psychosocial phenomena and also synthesises the evidence on the most commonly featured psychosocial factors in the included publications – loneliness and social support – evidencing conflicting findings in relation to gambling activities and problem gambling. Although few studies carried evidence to corroborate causal inferences, the risk factors and related epidemiological pathways we identify highlight focal areas that should be considered in both future prevention research and practice, broadening the arena for prevention strategies targeting new health challenges.