At an absolute minimum they require a wallet to keep your funds and a way to interact with gambling games or place bets. To prove the first two points above, the gambling site will have you go through a KYC process. You will be required to send in a copy of a valid ID and a proof of residence (a utility bill or similar). Note that many crypto gambling sites do not require you to do this until you request a withdrawal! They will likely accept your first deposit, assuming you are from a legal juri...