U.S. income in 2019
If you had a U.S. source of income in 2019, you should have received a W-2 form and/or form 1042-S from your place of employment. If you have not received your W-2/1042-S by the first week of February, be sure to contact the payroll of your employer to make sure they have your correct address on file. You must either file a U.S. tax return before April 15, 2020 or file for an extension before that date.
Step one is to determine if you are a Nonresident Alien or Resident Alien for tax purposes. The general rule is that if you are an F-1 or J-1 student and have been in the US for LESS than 5 calendar years, you are considered a Non-Resident Alien for tax purposes. Nonresident Aliens file one of the "NR" tax forms (1040NR or 1040NR-EZ) and Form 8843. If you have been in the US as an F-1 or J-1 student for MORE than 5 calendar years, OR if you change your status to a different visa category (such as an H-1B), and you have been in this new status for more than half the year, then you are considered a Resident Alien and will file the regular forms (1040).
*Please note that being a Resident Alien for tax purposes has no bearing on your immigration status. It does not get you a "green card."
To learn more about Nonresident Alien taxes, you can review the IRS Publication 519 U.S. Tax Guide for Aliens