Tonali was sent home from the Italy squad last week along with international team-mate Nicolo Zaniolo after being questioned by police.
The Newcastle player's agent has since claimed that his client is a gambling addict, with the summer arrival from AC Milan said to be left "shocked" by recent developments.
The Premier League club have now commented on the situation for the first time, writing in a statement: "Newcastle United can confirm that Sandro Tonali is subject to investigation by the Italian Prosecutor's Office and Italian Football Federation (FIGC) in relation to illegal betting activity.
"Sandro is fully engaging with the investigation and will continue to cooperate with all relevant authorities. He and his family will continue to receive the club's full support. Due to this ongoing process, Sandro and Newcastle United are unable to offer further comment at this time."
Reports in Italy claim that Tonali has admitted to betting on Milan matches when he was contracted to the Rossoneri - albeit not ones that he was involved in. This means he could face a ban of up to three years from all footballing activity.
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The investigation has also implicated Juventus starlet Nicolo Fagioli, who has admitted to breaking betting rules in Italy. He has since been handed a seven-month ban and been told to attend therapy.