Tonali is under investigation from both the Italian Football Federation and Italian Prosecutor's Office for placing bets while a player for AC Milan.
Tonali is alleged to have placed bets on matches he played in for AC Milan and in some matches when he was absent.
Tonali became Italy's most expensive footballer when he joined Newcastle United from AC Milan for £55m this summer.
The Premier League club said: "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."
The 23-year-old was forced to withdraw from the Italy squad for their recent EURO 2024 qualifiers against Malta and England.
If found guilty, Tonali faces a ban of up to three years but for the meantime, he is still eligible to feature for the Magpies.
On Tuesday, Juventus midfielder Nicolo Fagioli was banned for seven months for betting breaches.
