If you want this procedure to work then you must be a non-US resident and you should have 1042-S forms or W-2G forms which shows your gambling establishments with income and tax in it.

Whether you win or lose, you must keep a record of it with yourself. You should maintain a diary and record the date, location, amount of win or loss, as well as type of gambling activities involved. If you want to obtain the US gambling tax refund, it is done in two basic steps. Let us have a look at these two steps.

• Obtaining an ITIN number: ITIN is Individual Taxpayer Identification Number. If you do not have it then you must submit an application for it. You need to submit W7 form to IRS, along with the tax return and some documents as proof of identity and foreign status. There are total of thirteen acceptable documents by IRS which includes, US driver's license, National Identification card, Civil birth certificate, US state identification's card, Foreign driver's license, Foreign voter's registration card, US military identification card, medical records, School records, US citizenship and Immigration services and Visa too. You need to send the notarized copy not the original document to the IRS. All these documents must be certified by issuing agency or an official custodian of original record. If you want to get away with the application of ITIN by yourself then you can make use of official IRS ‘Certifying Acceptance Agent'.
• Prepare for your 1040 NR return: when you are submitting the application for ITIN for US gambling tax refund, then you need to submit form W7 to IRS with tax return as an attachment along with the original and certified document. The whole process will take some time after you post them or mail them to the IRS address. It might take around three to four months so that you get your US gambling tax refund in your account. You can claim for US gambling tax refund after even three years of your gambling win in the casino.

Now, it is not on your part to worry about the US gambling tax refund, as there are special agents who are there to help you with their services. You can let them know your issue and they will help you to submit every document and get the US gambling tax refund easily with legal manners and ways.