The American football star - who ended his relationship with the singer-and-actress last week - was seen playing poker, roulette and jackpot with his teammates in Lake Tahoe, California, just days after the break-up.
A source said: "Tony's in town for the American Century Championship golf tournament at the Edgewood Tahoe Golf Course and he enjoyed an early morning round of golf with two friends before trying his hand at poker, roulette and blackjack at Harrah's and Harveys.
"Though he was losing most of his games, Romo joked with the dealers and was in good spirits as he nursed a cup of black coffee."
Although Tony seems to be coping well with the split, the same can not be said of Jessica.
The 29-year-old beauty is said to be "all over the place" and can't come to terms with the separation.
A source said: "Jessica was really blindsided. She's sad, mad, and confused. Her emotions are all over the place.
"She is holding up OK. She is with her family. They are - as always - very supportive of her."