As a nonresident alien, do I need to report gambling winnings from the United States? If so, how do I report such winnings?

Yes, as a nonresident alien, you need to report gambling winnings from the United States. Here is how you should report such winnings:

1. Tax Withholding: In general, nonresident aliens are subject to a 30% tax on the gross proceeds from gambling winnings in the United States if that income is not effectively connected with a U.S. trade or business and is not exempted by an income tax treaty. However, no tax is imposed on nonbusiness gambling income a nonresident alien wins playing blackjack, baccarat, craps, roulette, or big-6 wheel in the United States.
2. Reporting Requirements: The tax withheld, along with the gross gambling winnings, are reported to the nonresident alien on Form 1042-S, Foreign Person's U.S. Source Income Subject to Withholding. This form is used to report the distributions and the amount of tax withheld.
3. Income Tax Treaties: Check income tax treaties between the U.S. and your country of residence for a reduced rate of, or possibly a complete exemption from, U.S. income tax for residents of that particular country. To claim any applicable treaty benefits, you must provide the payer a valid Form W-8 BEN — with a U.S. taxpayer identification number — if the gambling income is not effectively connected with a U.S. trade or business. The Form W-8 BEN is not filed with the IRS but is provided to the payer.
4. Filing Requirements: If you have gambling winnings that are subject to U.S. tax, you may need to file a U.S. tax return to report the income and claim any applicable treaty benefits. The specific form you would use to file your U.S. tax return is Form 1040-NR, U.S. Nonresident Alien Income Tax Return.
5. Documentation: Ensure you keep all documentation related to your gambling winnings and the tax withheld, including copies of Form 1042-S and any Form W-8 BEN provided to the payer.

For more detailed information, you can refer to IRS Publication 515, Withholding of Tax on Nonresident Aliens and Foreign Entities, and IRS Publication 901, U.S. Tax Treaties.

Sources:
Publication 519 (2023)
Publication 515 (2024)
§ 871. Tax on nonresident alien individuals
Publication 3079 (10/2018)