You need to file Oklahoma non-resident return.
Make sure to answer Yes to the question in the personal info section on the federal return Did you make money in any other states? and make sure OK state is selected from the drop-down.
You will enter your gambling winning on your federal return, On OK return the only taxable income is your gambling winning(OK source income).
**Say "Thanks" by clicking the thumb icon in a post
**Mark the post that answers your question by clicking on "Mark as Best Answer"