This paper examines the efficiency of the two major Australian football betting markets: the Australian Rugby League (ARL) FootyTAB market and the Australian Football League (AFL) Footywin market. Probit and ordered probit models are tailored to the unique structures of the markets. This circumvents some potential econometric problems, and also allows us to test betting strategies in which a bet is placed only when there is a high ex‐ante probability of success. Our probit models are successful in predicting game outcomes in both the ARL and AFL. While several of our betting strategies generate significant profits, both in‐sample and out‐of‐sample, we offer a number of reasons why we are cautious about interpreting these results as conclusive evidence of market inefficiency.