If you are married outside US with a person having different nationality, there is absolutely nothing to worry on your tax front. If you are legally married elsewhere, your marriage will be treated as legal in US as well.

Even if you have not informed your home state of your marriage, the IRS would consider your marriage legal from the date you walked down the aisle, not the date you walked to the court to obtain a US marriage license.

But you can file your tax jointly only when you choose to have your wife treated as US resident for tax purposes. A non-resident alien usually pays tax only on income from US sources.

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