I am not positive of the why but I believe part of it is that years of doing it physically and chemically changes our brains. It is progressive like alcoholism, even if we quit for years or decades, if we start again it does not take long to spiral out of control. There is some line that we cross, that once we are gambling more often, for longer, spending more time and money than we wanted to we have crossed it. Like other addictions, the further I was into it, the less fun and more compulsive it was. Addictive personality traits may have something to do with it as well. Ultimately, not dealing with feelings of loss, grief, inadequacy, resentment, anger, guilt and shame are the keys to why we want to gamble to begin with. However the addiction itself adds to the reason to continue. Additionally the dopamine that our bodies flood our brains with when we are in action, is a 'feel good' chemical. We are actually physically addicted to a drug our own bodies make. First steps: get between yourself and your money, find help, get quit, change where you spend your time.
Read other posts here and journals, educate yourself with videos, books, and therapy about addiction.

The first steps of recovery is quitting, getting into a twelve step program like GA and believing you can do it. The first few months will be hard on and off, but there are good days when you don't think about it. I really like my addiction counselor, and my sponsor. There are so many tools you can find on here, sometimes I just read and reread old posts. Even though it's hard it's a lot easier than when I was gambling, that was miserable!

you have to get to the point that you hate it more than anything and give it up and stay away, its not either, but unless you hit bottom, there is no more fun, its just a dirty grind.....

its not easy...

I'm going to try to hold on to that icky feeling I have when I've bottomed out every time I start to feel the urge to go. So much guilt, shame and disappointment. Ask myself why I want to waste my hard earned money to feel that way. Sharing and reading on this site is helping me too. I am broke now so I can't gamble but I am hopeful that I will be able to chose recovery.

Writing out how icky your last day gambling is does help, you can reread it as a way to remind you how icky it can be. Writing out a formal goodbye to gambling helps to cement your resolve to quit and is a good tool to reread when you have an urge, as a well written goodbye should have the reasons you are ending the relationship.
Counting your blessings goes a long way to lift the withdrawal symptoms that are sometimes heavy and depressive. Keeping a small journal of what you are grateful for everyday, is a beginning to help us see it could be worse.
Artwork can relieve the anxiety that comes with withdrawal and give you an emotional outlet.