<PAGE>   1

                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                                Washington, D.C.

                                    FORM 10-Q


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


    For the Quarterly Period Ended           June 30, 1999
                                    ------------------------------

                                       OR

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


    For the Transition Period From ___________________  to _________________


    Commission File Number     333-0214
                            ---------------


                            HORSESHOE GAMING, L.L.C.
--------------------------------------------------------------------------------
             (Exact name of registrant as specified in its charter)


            Delaware                                      88-0343515
--------------------------------------------------------------------------------
 (State or other jurisdiction                           (I.R.S. Employer
of incorporation or organization)                      Identification No.)


4024 Industrial Road Las Vegas, Nevada                       89103
--------------------------------------------------------------------------------
(Address of principal executive office)                    (Zip Code)


                                 (702) 650-0080
--------------------------------------------------------------------------------
              (Registrant's telephone number, including area code)


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 12 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
                                      ---      ---

<PAGE>   2

                    HORSESHOE GAMING, L.L.C. AND SUBSIDIARIES

                   CONSOLIDATED CONDENSED FINANCIAL STATEMENTS
                           QUARTER ENDED JUNE 30, 1999

<TABLE>
<CAPTION>

INDEX                                                                         PAGE
-----                                                                         ----
<S>                                                                           <C>
PART I FINANCIAL INFORMATION

ITEM 1 Financial Statements:

       Horseshoe Gaming, L.L.C. and Subsidiaries:
          Consolidated Condensed Balance Sheets
                 at June 30, 1999 and December 31, 1998........................  3
          Consolidated Condensed Statements of Operations
                 for the three and six months ended June 30, 1999 and 1998.....  4
          Consolidated Condensed Statements of Cash Flows
                 for the six months ended June 30, 1999 and 1998...............  5
          Notes to Consolidated Condensed Financial Statements.................  7

ITEM 2 Management's Discussion and Analysis of Financial Condition
          and Results of Operations............................................. 9

PART II OTHER INFORMATION

ITEM 6 Exhibits and reports on Form 8-K........................................ 14

SIGNATURES..................................................................... 15
</TABLE>


                                      2


<PAGE>   3

PART I FINANCIAL INFORMATION

ITEM 1 FINANCIAL STATEMENTS

                    HORSESHOE GAMING, L.L.C. AND SUBSIDIARIES

                      CONSOLIDATED CONDENSED BALANCE SHEETS
                                 (IN THOUSANDS)

                                     ASSETS

<TABLE>
<CAPTION>
                                                              June 30,     December 31,
                                                                1999           1998
                                                            -----------    ------------
                                                            (Unaudited)
<S>                                                          <C>            <C>
Current Assets:
    Cash and cash equivalents                                $  52,326      $  84,151
    Accounts receivable, net                                     8,149          9,653
    Inventories                                                  1,999          3,548
    Prepaid insurance                                            2,517              6
    Other prepaid expenses                                       5,736          4,478
                                                             ---------      ---------
                 Total current assets                           70,727        101,836
                                                             ---------      ---------

Property and Equipment:
    Land and land improvements                                  16,174         16,093
    Buildings, boat, barge and improvements                    342,123        333,071
    Furniture, fixtures and equipment                           86,959         83,360
    Less: accumulated depreciation                             (77,121)       (61,330)
                                                             ---------      ---------
                                                               368,135        371,194
    Construction in progress                                       291          4,113
                                                             ---------      ---------
    Net property and equipment                                 368,426        375,307
                                                             ---------      ---------
Other Assets:
    Secured proceeds account                                   344,859             --
    Goodwill, net                                               51,484         36,124
    Assets held for resale                                       4,000         12,000
    Debt issue costs                                            31,147          5,554
    Non-compete agreement, net                                   9,167             --
    Other                                                       31,583         29,627
                                                             ---------      ---------
                                                             $ 911,393      $ 560,448
                                                             =========      =========

                            LIABILITIES AND MEMBERS' EQUITY

Current Liabilities:
    Current maturities of long-term debt                     $   8,616      $   1,174
    Accounts payable                                             6,511          8,252
    Accrued expenses and other                                  48,104         40,599
                                                             ---------      ---------
                 Total current liabilities                      63,231         50,025

Long-term debt, less current maturities                        772,165        387,544
Other long-term liabilities                                     22,000             --
Minority interest                                                   --         (1,965)
Commitments and contingencies
Redeemable ownership interests, net                             12,318         53,693

Members' equity                                                 41,679         71,151
                                                             ---------      ---------
                                                             $ 911,393      $ 560,448
                                                             =========      =========
</TABLE>

              The accompanying notes are an integral part of these
                  consolidated condensed financial statements.

                                      3

<PAGE>   4

                    HORSESHOE GAMING, L.L.C. AND SUBSIDIARIES

                 CONSOLIDATED CONDENSED STATEMENTS OF OPERATIONS
                                   (UNAUDITED)
                                 (IN THOUSANDS)

<TABLE>
<CAPTION>
                                                     Three Months Ended             Six Months Ended
                                                          June 30,                      June 30,
                                                  ------------------------      ------------------------
                                                    1999           1998           1999           1998
                                                  ---------      ---------      ---------      ---------
<S>                                               <C>            <C>            <C>            <C>
Revenues:
    Casino                                        $ 110,244      $ 103,219      $ 222,942      $ 210,059
    Food and beverage                                12,159         11,514         25,154         22,596
    Hotel                                             8,656          8,590         17,418         16,873
    Other                                             3,178          2,343          7,479          4,434
                                                  ---------      ---------      ---------      ---------
                                                    134,237        125,666        272,993        253,962
Promotional allowances                              (15,484)       (14,141)       (32,882)       (28,531)
                                                  ---------      ---------      ---------      ---------
       Net revenues                                 118,753        111,525        240,111        225,431
                                                  ---------      ---------      ---------      ---------

Expenses:
    Casino                                           59,753         58,999        121,783        119,547
    Food and beverage                                 3,971          4,146          7,375          8,325
    Hotel                                             3,097          3,058          5,670          5,942
    Other                                             1,425          1,215          3,376          2,799
    General and administrative                       15,670         13,689         29,630         27,194
    Preopening                                           --             --             --            653
    Depreciation and amortization                     9,729          8,466         18,314         16,413
                                                  ---------      ---------      ---------      ---------
       Total expenses                                93,645         89,573        186,148        180,873
                                                  ---------      ---------      ---------      ---------

Operating Profit Before Corporate and
    Development Expenses And Asset Write-down        25,108         21,952         53,963         44,558
    Corporate and development expenses                2,217          2,019          3,919          3,968
    Deferred compensation                            (3,060)         1,108         (2,485)         2,454
    Asset write-down                                  8,000             --          8,000             --
                                                  ---------      ---------      ---------      ---------

Operating Income                                     17,951         18,825         44,529         38,136
                                                  ---------      ---------      ---------      ---------
    Interest expense                                (14,222)       (10,082)       (24,482)       (19,811)
    Interest income                                   2,961            452          3,533            929
                                                  ---------      ---------      ---------      ---------
       Net interest                                 (11,261)        (9,630)       (20,949)       (18,882)
                                                  ---------      ---------      ---------      ---------
    Other                                              (217)           (60)          (226)          (170)
    Minority interest                                    --            (23)          (312)             1
                                                  ---------      ---------      ---------      ---------

Income Before Extraordinary Loss on
    Early Retirement of Debt                          6,473          9,112         23,042         19,085
Extraordinary loss on early retirement
    of debt                                          (9,649)            --         (9,649)            --
                                                  ---------      ---------      ---------      ---------

Net Income (Loss)                                 $  (3,176)     $   9,112      $  13,393      $  19,085
                                                  =========      =========      =========      =========
</TABLE>


              The accompanying notes are an integral part of these
                  consolidated condensed financial statements.

                                      4

<PAGE>   5

                    HORSESHOE GAMING, L.L.C. AND SUBSIDIARIES

                 CONSOLIDATED CONDENSED STATEMENTS OF CASH FLOWS
                                   (UNAUDITED)
                                 (IN THOUSANDS)

<TABLE>
<CAPTION>
                                                                       Six Months Ended
                                                                           June 30,
                                                                    ----------------------
                                                                      1999          1998
                                                                    --------      --------
<S>                                                                 <C>           <C>
Cash provided by operating activities:
    Net income                                                      $ 13,389      $ 19,085
    Adjustments to reconcile net income to
       net cash provided by operating activities:
          Minority interest in (loss) income of subsidiary               312            (1)
          Depreciation and amortization                               18,314        16,413
          Amortization of debt discount, deferred
              finance charges and other                                1,339         1,366
          Extraordinary loss on early retirement of debt               9,649            --
          Loss on land and other assets                                   84            48
          Asset write-down                                             8,000            --
          Provision for doubtful accounts                              1,524         5,224
          Increase (decrease) in redeemable ownership interests       (2,485)        2,495
          Net change in assets and liabilities                         1,147       (21,088)
                                                                    --------      --------
                 Net cash provided by operating activities            51,273        23,542
                                                                    --------      --------

Cash flows from investing activities:
    Purchases of property and equipment                               (8,932)      (34,951)
    Proceeds from sale of property and equipment                          --           392
    Decrease in construction payables                                 (1,520)      (25,871)
    Increase in goodwill                                                (232)           --
    Increase in other assets                                          (6,721)       (2,172)
                                                                    --------      --------
                 Net cash used in investing activities               (17,405)      (62,602)
                                                                    --------      --------
</TABLE>


                                       5

<PAGE>   6

                    HORSESHOE GAMING, L.L.C. AND SUBSIDIARIES

           CONSOLIDATED CONDENSED STATEMENTS OF CASH FLOWS (CONTINUED)
                                   (UNAUDITED)
                                 (IN THOUSANDS)

<TABLE>
<CAPTION>
                                                             Six Months Ended
                                                                 June 30,
                                                        ------------------------
                                                           1999            1998
                                                        ---------      ---------
<S>                                                     <C>            <C>
    Cash flows from financing activities:
       Proceeds from debt, net of debt issue
          costs of $24,830 in 1999                      $ 582,671       $ 45,000
       Increase in secured proceeds account              (344,859)            --
       Payments on debt, including early retirement
          premium and penalties                          (247,930)        (1,775)
       Distribution to minority shareholders                 (842)          (523)
       Capital distributions                              (10,616)       (13,097)
       Warrant repurchase                                 (34,426)            --
                                                        ---------      ---------
                 Net cash (used in) provided by
                    financing activities                  (65,693)        29,605
                                                        ---------      ---------

Net change in cash and cash equivalents                   (31,825)        (9,455)
Cash and cash equivalents, beginning of period             84,151         48,710
                                                        ---------      ---------
Cash and cash equivalents, end of period                $  52,326      $  39,255
                                                        =========      =========

Supplemental disclosure of cash flow information:
    Interest paid                                       $  21,299      $  17,842
</TABLE>

Redeemable ownership interests totaling $38,890 was reclassified to long-term
debt, employee receivables and equity in the 1999 period in conjunction with the
Company's purchase of 7.2% ownership in the Company from past management (see
footnote 2).

Other assets, goodwill and property totaling $28,545 was recorded as accrued
expenses, long-term accrued expenses and minority interest in conjunction with
the Company's purchase of the 8.08% limited partner interest in Horseshoe
Entertainment, L.P. in the 1999 period (see footnote 2).

Distributions totaling $15,000,000, which were accrued at December 31, 1997 were
paid in February 1998.


              The accompanying notes are an integral part of these
                  consolidated condensed financial statements.

                                        6

<PAGE>   7

                    HORSESHOE GAMING, L.L.C. AND SUBSIDIARIES

              NOTES TO CONSOLIDATED CONDENSED FINANCIAL STATEMENTS
                                   (UNAUDITED)

1. Introduction:

The accompanying unaudited Consolidated Condensed Financial Statements of
Horseshoe Gaming, L.L.C. (the "Company"), a Delaware limited liability company,
have been prepared in accordance with the instructions to Form 10-Q, and
therefore do not include all information and disclosures necessary for complete
financial statements in conformity with generally accepted accounting
principles. The consolidated condensed balance sheet at December 31, 1998 was
derived from audited financial statements, but does not include all disclosures
required by generally accepted accounting principles. The results for the
periods indicated are unaudited, but reflect all adjustments (consisting only of
normal, recurring adjustments) which management considers necessary for a fair
presentation of operating results. Results of operations for interim periods are
not necessarily indicative of a full year of operations.

2. Ownership Transaction:

In April 1999, the Company exercised an option to purchase an 8.08% limited
partnership interest in Horseshoe Entertainment (the remaining interest not held
by New Gaming Capital Partnership, L.P., a wholly owned subsidiary of the
Company) for total consideration of approximately $30 million, which includes
payments for goodwill, a non-compete covenant, consents and the release of
claims. The consideration for the repurchase consisted of cash, payables to the
former limited partners, and offsets against the negative capital account
balances of the former limited partners.

On April 15, 1999, Horseshoe Gaming Holding Corp. ("HGHC") was formed to
facilitate the purchase of Empress Entertainment, Inc. HGHC is an "S
corporation" for federal income tax purposes. The Company's owners have
exchanged substantially all of their membership interests for stock of HGHC.
Prior to completing the Empress merger (see Note 5), any remaining membership
interests not exchanged for stock in HGHC will be purchased by the Company. As
of June 30, 1999, the Company owns 100% of each of the operating partnerships,
which own Horseshoe Bossier City and Horseshoe Tunica. All the Company's
operating subsidiaries serve as guarantors under the debt agreements.

In May 1999, the Company reached an agreement in principle with five former
employees with aggregate redeemable ownership interests in the Company of 7.2%
on the value of their ownership interests. In June 1999, the first installment
of approximately $11.5 million was paid to these five former employees with the
remaining amount to be paid over a period not to exceed four years. The notes
receivable from these employees were fully paid as a result of this transaction.
Operating results for the three and six months ended June 30, 1999 include a
$2.9 million reduction in deferred compensation expense resulting from revising
the estimated value of these ownership interests. The initial value of the
redeemable ownership interests was based on an independent appraisal.

3. Asset Write-down:

During the second quarter of 1999, the Company recorded an additional $8.0
million charge to adjust the carrying value of the riverboat held for sale,
Queen of the Red, to its current estimated net realizable value of $4.0 million.
In May 28, 1999, the Illinois Legislature passed a bill allowing dockside gaming
and eliminated the need for cruising vessels. This additional charge was made to
reflect the current market conditions for idle riverboats and was based on
recent market information concerning riverboat sales.


                                     7

<PAGE>   8
4. Long-Term Debt:

To finance the upcoming Empress merger (see Note 5), in April 1999, HGHC
received a commitment for a new $375 million senior credit facility and in May
1999 completed an offering of $600 million of senior subordinated notes (the
"Notes") in a private placement (the "Notes Offering"). The notes bear interest
at the rate of 8.625% and are due in 2009. The proceeds from the Notes Offering
will be used to partially fund the purchase of Empress and has been used to
repay debt of the Company and related fees and expenses. Of the proceeds, $342.3
million was placed in a secured proceeds account. The secured proceeds account
was pledged to the trustee to secure our obligations under the notes and the
indenture, including our obligation to redeem a portion of the notes at 101% of
their principal amount if: (a) we fail to consummate the Empress merger for any
reason by December 1, 1999; (b) we determine that the Empress merger will not be
completed by that date; (c) more than $75.0 million of the $150.0 million of
Empress' 8 1/8% senior subordinated notes due 2006, or Empress notes, remain
outstanding after we consummate a change of control offer to purchase the
Empress notes, or Empress change of control offer; or (d) we fail to timely
consummate the Empress change of control offer. In May 1999, the Company
consummated a tender offer for its 12 3/4% senior notes due 2000, $128.6 million
were outstanding prior to the tender offer. Substantially all of the senior
notes were tendered in the tender offer. In the second quarter of 1999, the
Company recognized an extraordinary loss of $9.6 million in conjunction with the
debt redemption. On June 30, 1999, HGHC completed its $375 million credit
facility. The credit facility consists of a $250 million five-year revolver and
a $125 million seven-year term loan.

5. Contingencies:

The Company and its subsidiaries, during the normal course of operating their
business, become engaged in various litigation and other legal disputes. In the
opinion of the Company's management, the ultimate disposition of such disputes
will not have a material impact on the Company's operations.

On September 2, 1998, the Company entered into an Agreement and Plan of Merger
(the "Merger Agreement") to acquire the operating subsidiaries of Empress
Entertainment, Inc. ("Empress") for an estimated $609 million, including
assumption of a portion of Empress' existing debt of approximately $150 million.
Empress owns two riverboat gaming operations: one in Hammond, Indiana and one in
Joliet, Illinois. The Company intends to fund the acquisition through the new
borrowings. The transactions contemplated by the Merger Agreement are subject to
the approval of the Mississippi Gaming Commission, the Louisiana Gaming
Commission, the Illinois Gaming Board and the Indiana Gaming Commission. There
can be no assurance that the Company will be successful in obtaining such
approvals. In addition, the Merger Agreement, including the amendment dated
March 25, 1999, provides that each party has the right to terminate the
agreement under certain circumstances, which in some instances would allow
Empress to retain a $10 million down payment made by the Company towards the
purchase price as well as receive other consideration from the Company not to
exceed $3 million. In July 1999, the Company amended the Merger Agreement,
subject to regulatory approval, with Empress to extend the closing date of the
merger to December 1, 1999.

6. Subsequent Events:

The Company is currently in the process of purchasing approximately 6.0% of
additional ownership from certain owners and employees for approximately $27.7
million. The terms have not been finalized; however, the Company anticipates
these purchases will be finalized in the third quarter of 1999. Anticipated
payment terms include a down payment of approximately $7.1 million with the
remaining due through April 2003 including interest at 8%.

On July 23, 1999, the Company entered into a consulting agreement with Empress
to provide a wide range of consulting and advisory services in connection with
operating casinos in the greater Chicago market and, in particular, the
opportunities presented to Empress Joliet as a result of the legislation which
now permits dockside gaming. In consideration for the consulting and advisory
services to be provided and in recognition of the economic benefits to us of
maintaining dockside gaming, we will pay Empress a monthly consulting fee of
$333,333 for a period of five years, the total of all such payments not to
exceed $20,000,000. The consulting payments will not commence until the closing
of the Empress merger and will be suspended during any period during which
Empress Joliet is prohibited from conducting dockside gaming activities. All
consulting payments will be accelerated if we undergo a change in control.


                                        8

<PAGE>   9

PART I FINANCIAL INFOMATION

ITEM 2 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
       RESULTS OF OPERATIONS

GENERAL

The following discussion and analysis provides information which Management
believes is relevant to an assessment and understanding of the consolidated
financial condition and results of operations of Horseshoe Gaming, L.L.C. (the
"Company"). The discussion should be read in conjunction with the Consolidated
Condensed Financial Statements and notes thereto.

This Quarterly Report on Form 10-Q contains certain "forward-looking statements"
within the meaning of the Private Securities Litigation Reform Act of 1995,
which generally can be identified by the use of such terms such as "may,"
"expect," "anticipate," "believe," "continue," or similar variations or the
negative thereof. These forward-looking statements are subject to certain risks
and uncertainties, such as risks associated with substantial indebtedness, debt
service and liquidity; risks of competition in the Company's existing and future
markets; difficulties in completing the integration with Empress, if the Empress
merger is consummated; failure to obtain or retain licenses or regulatory
approvals; changes in gaming laws and regulations; and other factors discussed
in the Company's Annual Report on Form 10-K for the year ended December 31,
1998, which could cause actual results to differ materially.

RESULTS OF OPERATIONS

Three months ended June 30, 1999 and 1998

Net revenues for the three months ended June 30, 1999 were $118.8 million,
compared to $111.5 million for the comparable period in 1998. Operating income
decreased to $18.0 million for the three months ended June 30,1999, from $18.8
million for the comparable 1998 period.

The Company's net revenues include casino revenues and non-casino revenues of
$110.2 million and $8.5 million, respectively, for the quarter ended June 30,
1999 and $103.2 million and $8.3 million, respectively, for the quarter ended
June 30, 1998. Casino revenue per day increased approximately 6.8% in 1999 to
$1,211,000 from $1,134,000 in 1998.

The increase in net revenues was primarily caused by an increase in gaming
revenue resulting from volume increases in both slot coin-in and table game
drop. Both operating subsidiaries (Horseshoe Bossier City and Horseshoe Tunica)
contributed to the increase in net revenues over the prior year. The decrease in
operating income occurred mainly as a result of an additional $8.0 million
write-down of the Company's old Bossier City riverboat, "Queen of the Red". This
charge was recorded to adjust the carrying value of the riverboat to its current
estimated net realizable value of $4.0 million. The Company's operating income
margin for the quarter ended June 30, 1999 was 15.1%, compared with 16.9% for
the quarter ended June 30, 1998.

Horseshoe Tunica

Horseshoe Tunica contributed net revenues and operating profit before corporate
expenses, development expenses and asset write-down of $58.1 million and $16.2
million, respectively, for the quarter ended June 30, 1999 and $54.4 million and
$13.0 million, respectively, for the quarter ended June 30, 1998. Horseshoe
Tunica's net revenues include casino revenues and non-casino revenues of $55.3
million and $2.8 million, respectively, for the quarter ended June 30, 1999 and
$52.0 million and $2.4 million, respectively, for the quarter ended June 30,
1998. Casino revenue per day increased approximately 6.5% in the quarter ended
June 30, 1999 to $608,000 from $571,000 for the comparable 1998 period.

The increase in net revenues is primarily due to an increase in gaming volume.
The operating profit before corporate expenses, development expenses and asset
write-down margin for the quarter ended June 30, 1999 was 28% compared with 24%
for the quarter ended June 30, 1998. As with the net revenue increase, the
operating profit margin increase of 4.0 percentage points was primarily due to
an increase in gaming volume.


                                       9


<PAGE>   10

Horseshoe Bossier City

Horseshoe Bossier City contributed net revenues and operating profit before
corporate expenses, development expenses and asset write-down of $60.7 million
and $8.9 million, respectively, for the quarter ended June 30, 1999 and $57.1
million and $8.9 million, respectively, for the quarter ended June 30, 1998. The
increase in net revenues is primarily due to an increase in gaming volume.
Horseshoe Bossier City's net revenues include casino revenues and non-casino
revenues of $55.0 million and $5.7 million, respectively, for the quarter ended
June 30, 1999 and $51.2 million and $5.9 million, respectively, for the quarter
ended June 30, 1998. Casino revenue per day increased approximately 7.3% in the
quarter ended June 30, 1999 to $604,000 from $563,000 for the comparable 1998
period.

Operating profit before corporate expenses, development expenses and asset
write-down for the 1999 period includes additional expenses of approximately
$1.0 million due to an increase in costs of complimentary goods and services
provided to customers. The 1999 period also includes approximately $0.6 million
in additional payroll and related expenses due to the maturation of the work
force. The operating profit margin for the quarter ended June 30, 1999 was 15%
compared with 16% for the quarter ended June 30, 1998. The slight decline in the
margin is also due to amortization expense recognized as a result of the
Company's purchase of the 8.08% minority shareholder interests.

Other Factors Affecting Earnings

In May 1999, the Company reached an agreement in principle with five former
employees with aggregate redeemable ownership interests of 7.2% on the value of
their ownership interests. In June 1999, the first installment of approximately
$11.5 million was paid to these five former employees with the remaining amount
to be paid over a period not to exceed four years. The notes receivable from
these employees were fully paid as a result of this transaction. Operating
results for the three and six months ended June 30, 1999 include a $2.9 million
reduction in deferred compensation expense resulting from revising the estimated
value of these ownership interests. The initial value of the redeemable
ownership interests was based on an independent appraisal.

During the second quarter of 1999, the Company recorded an additional $8.0
million charge to adjust the carrying value of the riverboat held for sale,
Queen of the Red, to its current estimated net realizable value of $4.0 million.
The estimated realizable value was based on recent market information concerning
riverboats being held for sale. This additional charge was made to reflect the
current market conditions for idle riverboats. In May 28, 1999, the Illinois
Legislature passed a bill allowing dockside gaming and eliminated the need for
cruising vessels. Accordingly, it is likely that additional gaming vessels will
become available for resale shortly.

The increase in net interest expense of $1.6 million for the three months ended
June 30, 1999, compared with the same period in 1998, is mainly due to the
increase in the total amount of debt outstanding. Total debt outstanding
increased to $780.8 million as of June 30, 1999 from $356.7 million as of June
30, 1998. The increased borrowings were necessary to fund the planned merger
with Empress.

Interest income for the three months ended June 30, 1999 was $3.0 million,
compared to $0.5 million for the three months ended June 30, 1998. This
significant increase of approximately $2.5 million was a direct result of
depositing $342.3 million into a secured proceeds account that will be used for
partial payment of the Empress merger. This $342.3 million was obtained in the
second quarter of 1999 through a $600 million notes offering (see Liquidity and
Capital Resources below).

Six months ended June 30, 1999 and 1998

Net revenues for the six months ended June 30, 1999 were $240.1 million,
compared to $225.4 million for the comparable period in 1998. Operating income
increased to $44.5 million for the six months ended June 30,1999, from $38.1
million for the comparable 1998 period.

The increase in net revenues was primarily caused by a 6.1% increase in gaming
revenue mainly resulting from volume increases. Both operating subsidiaries
(Horseshoe Bossier City and Horseshoe Tunica) contributed to the increase in net
revenues over the prior year. The increase in operating income occurred mainly
as a result of increased net revenues. The Company's operating income margin for
the six months ended June 30, 1999 was 18.5%, compared with 16.9% for the six
months ended June 30, 1998. The Company's net revenues include casino revenues
and non-casino revenues of $222.9 million and $17.2 million, respectively, for


                                       10


<PAGE>   11

the six months ended June 30, 1999 and $210.1 million and $15.4 million,
respectively, for the six months ended June 30, 1998. Casino revenue per day
increased approximately 6.1% in 1999 to $1,232,000 from $1,161,000 in 1998.

Horseshoe Tunica

Horseshoe Tunica contributed net revenues and operating profit before corporate
expenses, development expenses and asset write-down of $117.5 million and $32.4
million, respectively, for the six months ended June 30, 1999 and $110.0 million
and $27.7 million, respectively, for the six months ended June 30, 1998. The
increase in net revenues is primarily due to an increase in gaming volume.

Horseshoe Tunica's net revenues include casino revenues and non-casino revenues
of $112.4 million and $5.1 million, respectively, for the six months ended June
30, 1999 and $105.3 million and $4.7 million, respectively, for the six months
ended June 30, 1998. Casino revenue per day increased approximately 6.7% in the
six months ended June 30, 1999 to $621,000 from $582,000 for the comparable 1998
period.

The table game revenue increase, relating to drop volume, of $1.6 million over
the same period in 1998, more than offset the $0.6 million reduction related to
hold percentage. In addition to this $1.0 million increase in table game
revenue, the slot revenue increase of approximately $6.1 million, primarily
resulting from increased coin-in volume, contributed to the $7.5 million casino
revenue increase.

The operating profit before corporate expenses, development expenses and asset
write-down margin for the six months ended June 30, 1999 was 28% compared with
25% for the six months ended June 30, 1998. As with the net revenue increase,
the margin increase of 3.0 percentage points was primarily due to an increase in
gaming revenues.

Horseshoe Bossier City

Horseshoe Bossier City contributed net revenues and operating profit before
corporate expenses, development expenses and asset write-down of $121.4 million
and $20.4 million, respectively, for the six months ended June 30, 1999 and
$115.4 million and $16.9 million, respectively, for the six months ended June
30, 1998. The increase in net revenues is primarily due to an increase in slot
coin-in volume.

Horseshoe Bossier City's net revenues include casino revenues and non-casino
revenues of $110.5 million and $10.9 million, respectively, for the six months
ended June 30, 1999 and $104.8 million and $10.6 million, respectively, for the
six months ended June 30, 1998. Casino revenue per day increased approximately
5.5% in the six months ended June 30, 1999 to $611,000 from $579,000 for the
comparable 1998 period.

The $5.7 million increase in casino revenue was primarily attributed to an
increase in slot coin-in volume. The slot revenue increase relating to the
coin-in volume variance was $6.7 million. This revenue increase relating to
volume was offset by a reduction of $0.8 million due to a variance in hold
percentage. As a result of the increased slot volume and the decreased slot hold
percentage, slot revenue increased $5.9 million.

In contrast, table game revenue decreased by $0.2 million in the six months
ended June 30, 1999 over the same period in 1998. Revenues due to drop volume
actually increased by $3.8 million for the period; however, revenues were
slightly offset by a $4.0 million decrease in revenue relating to a reduced hold
percentage.

Operating profit before corporate expenses, development expenses and asset
write-down for the 1999 period includes additional expenses in the casino
division of approximately $0.8 million in additional payroll and related
expenses due to the maturation of the work force. The 1999 period also includes
additional amortization expense recognized as a result of the Company's purchase
of the 8.08% minority shareholder interests (see Louisiana Repurchase below).

Other Factors Affecting Earnings

There were no additional factors affecting earnings in the six months ended June
30, 1999 as compared to the same period in 1998 other than what was discussed
previously in the three months ended June 30, 1999 and 1998 discussions (see
above).


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<PAGE>   12

LIQUIDITY AND CAPITAL RESOURCES

On May 11, 1999, Horseshoe Gaming Holding Corp. ("HGHC", see Other Matters
below) issued $600 million of 8 5/8% senior subordinated notes. These proceeds
have been loaned to the Company through intercompany mirror notes. The proceeds
from the issuance were used to refinance the Company's 12 3/4% senior notes and
refinance the Company's $130 million credit facility, of which $75 million was
outstanding as of May 11, 1999. Of the remaining proceeds, $342.3 million was
placed in a secured proceeds account. The secured proceeds account was pledged
to the trustee to secure our obligations under the notes and the indenture,
including our obligation to redeem a portion of the notes at 101% of their
principal amount if: (a) we fail to consummate the Empress merger for any reason
by December 1, 1999; (b) we determine that the Empress merger will not be
completed by that date; (c) more than $75.0 million of the $150.0 million of
Empress' 8 1/8% senior subordinated notes due 2006, or Empress notes, remain
outstanding after we consummate a change of control offer to purchase the
Empress notes, or Empress change of control offer; or (d) we fail to timely
consummate the Empress change of control offer. To partially finance the Empress
merger, the Company completed a bank financing for a new $375 million senior
credit facility which is available only upon completion of the merger.

LIQUIDITY

Net cash provided by operating activities was $51.3 million and $23.5 million
for the six months ended June 30, 1999 and 1998, respectively. The increase in
operating cash flow from the first six months of 1999 compared to 1998 is due
mainly to the 1998 period reflecting a $18.7 million payment for accrued
dividends. The remaining fluctuation is mainly due to the non-cash write-down of
$8.0 million to the Queen of the Red and approximately $9.6 million relating to
the extraordinary loss from the early retirement of long-term debt recognized
during 1999.

CAPITAL SPENDING AND FINANCING

Net cash used in investing activities was $17.4 million and $62.6 million for
the six months ended June 30, 1999 and 1998, respectively. Cash flows from
investing activities include expenditures for normal capital replacement and
expansion projects. The fluctuation in investing cash flows is mainly due to the
expansion project recently completed in Horseshoe Bossier City in 1998.

Net cash (used in) provided by financing activities were $(65.7) million and
$29.6 million for the six months ended June 30, 1999 and 1998, respectively. Two
factors caused the fluctuation in the six months ended June 30, 1999 and 1998.
First, the 1998 period includes $45.0 million in borrowings to finance expansion
capital expenditures and second, the 1999 period includes $34.4 million in
payments to purchase outstanding warrants.

Cash and cash equivalents totaled $52.3 million as of June 30, 1999. We believe
that our cash and cash equivalents on hand, cash from operations and available
borrowing capacity will be adequate to meet our existing debt service
obligations and capital expenditure commitments for the next twelve months.

OWNERSHIP REPURCHASE MATTERS

On January 13, 1999, the Company repurchased outstanding warrants held by a
third party which entitled such third party to purchase an approximate 6.99%
ownership interest from its largest shareholder, HGI, for an exercise price of
$510,000. Upon acquisition, the Company exercised the warrants and retired the
membership units acquired from HGI. The total cost of the warrants, including
fees, expenses and the exercise price paid to HGI, was approximately $34.4
million, which was recorded as a reduction in members' equity in the first
quarter of 1999.

The Company has employment agreements and unit option agreements with certain
employees which contain put/call options whereby, upon termination of
employment, the Company must, at the election of any such employee, and may, at
the Company's election, purchase such employee's ownership interest for an
amount equal to the fair market value of such interest as determined by an
independent appraisal or an arbitration process. As of March 31, 1999, the
aggregate fair market value of all interests subject to such put/call options,
representing approximately 9.9% ownership of the Company, was $54.9 million
based on an appraisal obtained in November 1997. Such agreements provide that
the purchase price for the employee's ownership interest shall be paid in cash,
either upon transfer of the interest to us or in installments over a period not
to exceed four years depending on the aggregate purchase price.

In May 1999, we reached an agreement in principle with the five former employees
with aggregate ownership interests in the Company of 7.2% on the valuation of
their ownership interests. The agreed-upon valuation for purposes of calculating
the valuation of the five former employees' ownership interests is $470 million
if the Empress merger is not consummated and $500 million if the Empress merger
is consummated. In June 1999, the first installment of approximately $11.5
million was paid to these five former employees with the remaining amount due
through April 2002. The notes receivable from these employees were fully paid as
a result of this transaction. The effect of the change in the estimated value of
approximately $2.9 million is reflected in the second quarter 1999 results of
operations.


                                       12


<PAGE>   13

Four current employees of the Company holding ownership interests totaling
approximately 1.3% have exercised their put/call option and two employees
holding unit options have exercised their put/call option. In July 1999, we paid
approximately $0.5 million to the two employees holding unit options in full
settlement. The four current employees will be paid out over a period of three
years, with the first installment of approximately $1.7 million due and payable
upon final agreement which is expected to occur in the third quarter of 1999.

LOUISIANA REPURCHASE

In April 1999, we exercised our option to acquire the remaining 8.08% limited
partnership interest in Horseshoe Entertainment, L.P. not held by New Gaming
Capital Partnership for total consideration of up to $30.4 million, which
included payments for a non-compete covenant, consents and a release of claims.
The consideration for the repurchase consisted of $2.1 million in cash, offsets
against the negative capital account balances of the former limited partners and
payables amounting to $26.0 million, of which $4.0 million is included in
accrued expenses and the remaining $22.0 million is included in other long-term
liabilities.

EMPRESS MERGER

On September 2, 1998, we entered into an Agreement and Plan of Merger, as
amended on March 25, 1999 and July 23, 1999, to acquire the operating
subsidiaries of Empress for an estimated $609.0 million, subject to adjustment,
including assumption of $150.0 million of Empress notes. We intend to use the
funds in the secured proceeds account and amounts available under the new credit
facility in order to consummate the Empress merger. The acquisition will be
accomplished by merging two of our wholly-owned subsidiaries into the Empress
subsidiaries that own Empress Hammond and Empress Joliet. The transactions
contemplated by the merger agreement are subject to the approval of the
Mississippi Gaming Commission, the Louisiana Gaming Control Board, the Illinois
Gaming Board and the Indiana Gaming Commission. There can be no assurance that
we will be successful in obtaining such approvals. In addition, the merger
agreement provides that each party has the right to terminate the agreement
under certain circumstances, which in some instances would allow Empress to
retain a $10.0 million down payment we made towards the purchase price as well
as receive other consideration not to exceed $3.0 million. The July 23, 1999
amendment to the Agreement and Plan of Merger extended the closing date to
December 1, 1999.

OTHER MATTERS

On April 15, 1999, HGHC was formed by the filing of a Certificate of
Incorporation with the Delaware Secretary of State. Certain members of the
Company intend to contribute their membership interests to HGHC such that,
following such contribution, HGHC would own over 90% of the aggregate ownership
interests in the Company. Prior to the Empress merger, HGHC intends to take all
necessary action such that it will own 100% of the Company.

On July 23, 1999, we entered into a consulting agreement Empress to provide us
with a wide range of consulting and advisory services in connection with
operating casinos in the greater Chicago market and, in particular, expecting in
full the opportunities presented to Empress Joliet as a result of the
legislation which now permits dockside gaming. In consideration for the
consulting and advisory services to be provided and in recognition of the
economic benefits to us of maintaining dockside gaming, we will pay Empress a
monthly consulting fee of $333,333 for a period of five years, the total of all
such payments not to exceed $20,000,000. The consulting payments will not
commence until the closing of the Empress merger and will be suspended during
any period during which Empress Joliet is prohibited from conducting dockside
gaming activities. All consulting payments will be accelerated if we undergo a
change in control.

YEAR 2000 READINESS DISCLOSURE

The Year 2000 problem is the result of computer programs being written using two
digits rather than four to define the applicable year. Any of our programs that
have time-sensitive software may recognize a date using "00" as the year 1900
rather than the year 2000. This could result in a major system failure or
miscalculations.

The Company has outlined its Year 2000 compliance plan into three phases:

(1)   a thorough internal review of potential system problems and their impact
      on our business,


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<PAGE>   14

(2)   the subsequent implementation of the remediation plan formulated as a
      result of phase 1 and a review of the compliance of our significant
      vendors and suppliers, and

(3)   extensive testing of the remediation plan implementation and extensive
      construction and review of contingency plans by an internal Year 2000 task
      force comprised of key corporate and property executives and personnel.

Key elements of the remediation plan generated from phase 1 included the
following:

o     Financial and HR software packages were upgraded.

o     In excess of two hundred personal computers were purchased and installed.

o     A new network operating system and company-wide email system was purchased
      and subsequently installed.

o     Hotel management system was upgraded to a new version, which was Y2K
      compliant.

o     All telephone call accounting software packages were replaced with new
      compliant software.

o     Time and attendance software and time clocks in Horseshoe Bossier City are
      being replaced.

o     The Slot Accounting system in Horseshoe Tunica has been upgraded and the
      one in Horseshoe Bossier City is scheduled for an upgrade.

Contingency plans are being developed and tested in phase 3. Accordingly, the
Company does not anticipate any internal systems failures will have a material
impact on its operations or financial condition. The Company will continue its
efforts to ensure that major third party vendors as well as public and private
providers of infrastructure services such as utilities and communication
services will be Year 2000 compliant. The failure of such infrastructure
services could result in a "worst case" scenario in which operations relying on
services like mechanical gaming devices would be temporarily disrupted. The
Company cannot presently estimate either the likelihood or the potential cost of
such failures. While the Company cannot be sure that it and our suppliers and
customers will fully resolve the Year 2000 compliance issues, neither the
estimated costs nor the outcome of the Year 2000 problem is expected to have a
material impact on the Company's financial position or results of operations.

Phase 1 has been completed; with phase 2 substantially completed, and phase 3 to
be completed by October 1, 1999. The Company expects to be fully Year 2000
compliant by October 1, 1999.

As of July 31, 1999, the Company had spent approximately $480,000, and estimates
additional costs of approximately $196,000, in connection with the Year 2000
compliance program. The Company plans to fund expenditures associated with Year
2000 compliance from working capital.

PART II OTHER INFORMATION

ITEM 6 EXHIBITS AND REPORTS ON FORM 8-K

(a) Exhibits:

    Exhibit No. 27.1 -- Financial Data Schedule - Horseshoe Gaming, L.L.C.
                        and Subsidiaries

(b) Reports on Form 8-K

    None.


                                       14

<PAGE>   15

                                   SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.


                                        HORSESHOE GAMING, L.L.C.
                                        a Delaware limited liability company

                                        By:  Horseshoe Gaming, Inc.,
                                             a Nevada corporation
                                        Its: Manager



Date: August 14, 1999                   By: /s/ KIRK C. SAYLOR
                                            ----------------------------------
                                            Kirk C. Saylor
                                            Chief Financial Officer



                                       15

<PAGE>   16

                                  EXHIBIT INDEX


               Exhibit
               Number                   Description
               -------                  -----------

                27.1     Financial Data Schedule-Horseshoe Gaming, L.L.C.
                         and Subsidiaries