“Near-miss” events, where unsuccessful outcomes are proximal to the jackpot, increase gambling propensity and may be associated with the addictiveness of gambling, but little is known about the neurocognitive mechanisms that underlie their potency. Using a simplified slot machine task, we measured behavioral and neural responses to gambling outcomes. Compared to “full-misses,” near-misses were experienced as less pleasant, but increased desire to play. This effect was restricted to trials where the subject had personal control over arranging their gamble. Near-miss outcomes recruited striatal and insula circuitry that also responded to monetary wins; in addition, near-miss-related activity in the rostral anterior cingulate cortex varied as a function of personal control. Insula activity to near-misses correlated with self-report ratings as well as a questionnaire measure of gambling propensity. These data indicate that near-misses invigorate gambling through the anomalous recruitment of reward circuitry, despite the objective lack of monetary reinforcement on these trials.