<PAGE>   1
                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D. C. 20549


                                  FORM 10-K/A

[X]  ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934

     For the fiscal year ended January 31, 2000

                                       OR

[ ]  TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF SECURITIES EXCHANGE
ACT OF 1934

     For the transition period from __________________ to __________________

                        COMMISSION FILE NUMBER: 000-24381

                          HASTINGS ENTERTAINMENT, INC.
             (Exact name of registrant as specified in its charter)

             TEXAS                                               75-1386375
(State or other jurisdiction of                                 (IRS Employer
 incorporation or organization)                              Identification No.)

 3601 PLAINS BOULEVARD, AMARILLO, TEXAS                            79102
(Address of principal executive offices)                         (Zip Code)

Registrant's telephone number, including area code: (806) 351-2300

Securities registered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act:
Common Stock, $.01 par value per share             Nasdaq National Market
           (Title of Class)               (Name of Exchange on which registered)

Indicate by check mark whether the registrant: (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding twelve months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days.
Yes [X] No [ ]

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405
of Regulation S-K is not contained herein, and will not be contained, to the
best of registrant's knowledge, in definitive proxy or information statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
Form 10-K. [ ]

The aggregate market value of the voting stock held by non-affiliates of the
registrant was approximately $11,634,235 based upon the closing market price of
$2.188 per share of Common Stock on the Nasdaq National Market as of June 5,
2000.

Number of shares of $.01 par value Common Stock outstanding as of June 5, 2000:
11,642,644


                               (Cover page 1 of 1)


<PAGE>   2
On June 14, 2000, Hastings Entertainment, Inc., (the "Company") filed its annual
report on Form 10K for the fiscal year ended January 31, 2000. This Form 10-K/A
is being filed by the Company to include financial data schedules for the fiscal
years ended January 31, 1999 and January 31, 1998. These financial data
schedules are set forth on Exhibits 27.2 and 27.3, respectively, to this Form
10-K/A.


                                     PART IV

ITEM 14.     EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K

(a)      1.       The following consolidated financial statements of the
                  Company are included in Part II, Item 8:

<TABLE>
<S>                                                                    <C>
Independent Auditors' Report ......................................... 27
Consolidated Balance Sheets as of January 31, 2000 and 1999 .......... 28
Consolidated Statements of Operations for the years ended
    January 31, 2000, 1999 and 1998 .................................. 29
Consolidated Statements of Shareholders' Equity for the years
    ended January 31, 2000, 1999 and 1998 ............................ 30
Consolidated Statements of Cash Flows for the years ended
    January 31, 2000, 1999 and 1998 .................................. 31
Notes to Consolidated Financial Statements ........................... 32
</TABLE>


         2.       The following financial statement schedules and other
                  information required to be filed by Items 8 and 14(d) of Form
                  10-K are included in Part IV:

                   Schedule II - Valuation and Qualifying Accounts

         All other schedules are omitted because they are not applicable, not
         required or the required information is included in the Consolidated
         Financial Statements and notes thereto.

         3.       The following exhibits are filed herewith or incorporated by
                  reference as indicated as required by Item 601 of Regulation
                  S-K. The exhibits designated by an asterisk are management
                  contracts and/or compensatory plans or arrangements required
                  to be filed as exhibits to this report.

<TABLE>
<CAPTION>
       Exhibit
        Number              Description
        ------              -----------

<S>                 <C>     <C>
          3.1       (1)     Third Restated Articles of Incorporation of the Company.

          3.2       (1)     Amended and Restated Bylaws of the Company.

          4.1       (1)     Specimen of Certificate of Common Stock of the Company.

          4.2       (1)     Third Restated Articles of Incorporation of the Company (see 3.1 above).

          4.3       (1)     Amended and Restated Bylaws of the Company (see 3.2 above).

         10.1       (1)     Form of Indemnification Agreement by and between the Company and its
                            directors and executive officers.

         10.2       (1)     Note Purchase Agreement regarding $25,000,000 7.75% Senior Notes Due June 13, 2003

         10.3       (1)     Credit Agreement among Hastings Entertainment, Inc. and NationsBank as of December 16, 1998

         10.4       (1)     Hastings Amended 1996 Incentive Stock Plan.

         10.5   *   (1)     Hastings 1994 Stock Option Plan.

         10.6   *   (1)     Hastings 1991 Stock Option Plan.

         10.7   *   (1)     Hastings Entertainment, Inc. Associates' 401(k) Plan and Trust.

         10.8   *   (1)     Hastings Employee Stock Ownership Plan Trust Agreement.

         10.9   *   (1)     Chief Executive Officer Stock Option, as amended.

        10.10   *   (1)     Corporate Officer Incentive Plan.

        10.11   *   (1)     Management Stock Purchase Plan.

        10.12   *   (1)     Management Incentive Plan.

        10.13   *   (1)     Salary Incentive Plan.

        10.14   *   (1)     Hastings Entertainment, Inc. Stock Option Plan for Outside Directors.

        10.15       (1)     Lease Agreement, dated August 3, 1994, as amended, between Omni Capital Corporation and the
                            Company, for office space located at Sunset Center in Amarillo, Texas.

        10.16       (1)     Lease Agreement, dated August 3, 1994, as amended, between Omni Capital Corporation and the
                            Company, for warehouse space located at Sunset Center in Amarillo, Texas.
</TABLE>
<PAGE>   3
<TABLE>
<S>                 <C>     <C>
        10.17       (1)     Stock Redemption Agreement dated May 3, 1994, as amended, between John H. Marmaduke,
                            Independent Executor of the Estate of Sam Marmaduke, Deceased, and the Company.

        10.18       (1)     Lease Agreement, dated May 28, 1992, between the City of Amarillo and the Company for space
                            located at 1900 W. 7th Avenue in Amarillo, Texas.

        10.19       (1)     $1,600,000 Promissory Note and Security Agreement in favor of First Interstate Bank of Texas,
                            NA.

        10.20   *   (1)     Stock Grant Plan for Outside Directors.

        10.21   *   (1)     Form of Employment Agreement by and between the Company and certain of its executives.

        10.22       (2)     Amended Lease Agreement, dated October 13, 1999, between Omni Capital Corporation and the
                            Company, for office space located at Sunset Center in Amarillo, Texas.

         21.1       (1)     Subsidiaries of the Company.

         23.1       (2)     Consent of KPMG LLP

         24.1       (2)     Powers of Attorney (included on signature pages)

         27.1       (2)     Financial Data Schedule for year ended January 31, 2000

         27.2               Financial Data Schedule for year ended January 31, 1999

         27.3               Financial Data Schedule for year ended January 31, 1998
</TABLE>

--------------------
                  (1)      Incorporated by reference from the Company's
                           Registration Statement on Form S-1 (File No.
                           333-47969) and with a corresponding exhibit number
                           herein. The financial statements set forth under Item
                           8 of this report on Form 10-K are incorporated herein
                           by reference.

                  (2)      Previously filed with the Company's Annual Report on
                           Form 10-K for the fiscal year ended January 31, 2000.

(b)      Reports on Form 8-K

         (i)      No report on Form 8-K was filed by the registrant during the
                  last quarter of the fiscal year for which this Report on form
                  10-K is filed.

         (ii)     Hastings Entertainment, Inc. filed a Current Report on Form
                  8-K on March 8, 2000 regarding the requirement for accounting
                  restatements for the first three quarters of fiscal 1999 and
                  the prior four fiscal years.

Financial Statement Schedule II -

                          HASTINGS ENTERTAINMENT, INC.
                 Valuation and Qualifying Accounts and Reserves
                   Years Ended January 31, 2000, 1999 and 1998
                             (Amounts in thousands)

<TABLE>
<CAPTION>
                                                                                FISCAL YEAR
                                                             ------------------------------------------------
                      Description                               1999              1998                1997
                      -----------                            ----------         ----------         ----------
                                                                               As restated        As restated
<S>                                                          <C>                <C>                <C>
Reserves deducted from assets:
Allowance for inventory shrinkage and obsolescence:
   Balance at the beginning of period                        $    2,146         $    2,755         $    3,061
   Additions charged to costs and expenses                        3,894              4,820              4,731
   Deductions for write-offs                                     (3,496)            (5,429)            (5,037)
                                                             ----------         ----------         ----------
   Balance at end of period                                  $    2,544         $    2,146         $    2,755
                                                             ==========         ==========         ==========



Reserves added to liabilities:
Allowance for cost of inventory returns:
   Balance at the beginning of period                        $   11,418         $    4,040         $    4,338
   Additions charged to costs and expenses                        4,961             12,633             19,856
   Deductions for write-offs                                     (6,916)            (5,255)           (20,154)
                                                             ----------         ----------         ----------
   Balance at end of period                                  $    9,463         $   11,418         $    4,040
                                                             ==========         ==========         ==========
</TABLE>



<PAGE>   4
                                   SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange
Act of 1934, the registrant has duly caused this Amendment No. 1 to its Annual
Report on Form 10-K/A to be signed on its behalf by the undersigned, on behalf
of the registrant, thereunto duly authorized:


                                   HASTINGS ENTERTAINMENT, INC.



DATE:  June 19, 2000               By:   /s/  JOHN H. MARMADUKE
                                        -------------------------------------
                                         John H. Marmaduke
                                         Chairman of the Board, President and
                                         Chief Executive Officer



     Pursuant to the requirements of the Securities and Exchange Act of 1934,
this report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.

<TABLE>
<CAPTION>
Signature                                Title                                                           Date
---------                                -----                                                           ----

<S>                                      <C>                                                             <C>
/s/ JOHN H. MARMADUKE                    Chairman of the Board, President and Chief Executive Officer    June 19, 2000
---------------------------------        (Principal Executive Officer)
John H. Marmaduke

/s/ GAINES L. GODFREY                    Senior Vice President, Chief Financial Officer and Director     June 19, 2000
---------------------------------        (Principal Financial and Accounting Officer)
Gaines L. Godfrey

        *                                Director                                                        June 19, 2000
---------------------------------
Leonard L. Berry

        *                                Director                                                        June 19, 2000
---------------------------------
Peter A. Dallas

        *                                Director                                                        June 19, 2000
---------------------------------
Craig R. Lentzsch

        *                                Director                                                        June 19, 2000
---------------------------------
Stephen S. Marmaduke

        *                                Director                                                        June 19, 2000
---------------------------------
Jeffrey G. Shrader

        *                                Director                                                        June 19, 2000
---------------------------------
Ron G. Stegall


*/s/ JOHN H. MARMADUKE
---------------------------------
John H. Marmaduke,
Attorney-in-Fact
</TABLE>




<PAGE>   5
                               INDEX TO EXHIBITS

<TABLE>
<CAPTION>
       Exhibit
       Number               Description
       -------              -----------
<S>                 <C>     <C>
          3.1       (1)     Third Restated Articles of Incorporation of the Company.

          3.2       (1)     Amended and Restated Bylaws of the Company.

          4.1       (1)     Specimen of Certificate of Common Stock of the Company.

          4.2       (1)     Third Restated Articles of Incorporation of the Company (see 3.1 above).

          4.3       (1)     Amended and Restated Bylaws of the Company (see 3.2 above).

         10.1       (1)     Form of Indemnification Agreement by and between the Company and its
                            directors and executive officers.

         10.2       (1)     Note Purchase Agreement regarding $25,000,000 7.75% Senior Notes Due June 13, 2003

         10.3       (1)     Credit Agreement among Hastings Entertainment, Inc. and NationsBank as of December 16, 1998

         10.4       (1)     Hastings Amended 1996 Incentive Stock Plan.

         10.5   *   (1)     Hastings 1994 Stock Option Plan.

         10.6   *   (1)     Hastings 1991 Stock Option Plan.

         10.7   *   (1)     Hastings Entertainment, Inc. Associates' 401(k) Plan and Trust.

         10.8   *   (1)     Hastings Employee Stock Ownership Plan Trust Agreement.

         10.9   *   (1)     Chief Executive Officer Stock Option, as amended.

        10.10   *   (1)     Corporate Officer Incentive Plan.

        10.11   *   (1)     Management Stock Purchase Plan.

        10.12   *   (1)     Management Incentive Plan.

        10.13   *   (1)     Salary Incentive Plan.

        10.14   *   (1)     Hastings Entertainment, Inc. Stock Option Plan for Outside Directors.

        10.15       (1)     Lease Agreement, dated August 3, 1994, as amended, between Omni Capital Corporation and the
                            Company, for office space located at Sunset Center in Amarillo, Texas.

        10.16       (1)     Lease Agreement, dated August 3, 1994, as amended, between Omni Capital Corporation and the
                            Company, for warehouse space located at Sunset Center in Amarillo, Texas.
</TABLE>

<PAGE>   6
<TABLE>
<S>                 <C>     <C>
        10.17       (1)     Stock Redemption Agreement dated May 3, 1994, as amended, between John H. Marmaduke,
                            Independent Executor of the Estate of Sam Marmaduke, Deceased, and the Company.

        10.18       (1)     Lease Agreement, dated May 28, 1992, between the City of Amarillo and the Company for space
                            located at 1900 W. 7th Avenue in Amarillo, Texas.

        10.19       (1)     $1,600,000 Promissory Note and Security Agreement in favor of First Interstate Bank of Texas,
                            NA.

        10.20   *   (1)     Stock Grant Plan for Outside Directors.

        10.21   *   (1)     Form of Employment Agreement by and between the Company and certain of its executives.

        10.22       (2)     Amended Lease Agreement, dated October 13, 1999, between Omni Capital Corporation and the
                            Company, for office space located at Sunset Center in Amarillo, Texas.

         21.1       (1)     Subsidiaries of the Company.

         23.1       (2)     Consent of KPMG LLP

         24.1       (2)     Powers of Attorney (included on signature pages)

         27.1       (2)     Financial Data Schedule for year ended January 31, 2000

         27.2               Financial Data Schedule for year ended January 31, 1999

         27.3               Financial Data Schedule for year ended January 31, 1998
</TABLE>

--------------------
                  (1)      Incorporated by reference from the Company's
                           Registration Statement on Form S-1 (File No.
                           333-47969) and with a corresponding exhibit number
                           herein. The financial statements set forth under Item
                           8 of this report on Form 10-K are incorporated herein
                           by reference.

                  (2)      Previously filed with the Company's Annual Report on
                           Form 10-K for the fiscal year ended January 31, 2000.