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Hi Chris -
Welcome to History Hub! We certainly have some records on Al Capone, and since they are highly sought after, some of them have been digitized and are available online.
To start off, I suggest searching the National Archives Catalog with the term "Al Capone" or his full name, "Alphonse Capone." This search brings up both items, and series. You can find out the physical location of anything in the Catalog by going into the entry and scrolling down towards the bottom under "Contact."
The National Archives blog Prologue: Pieces of History did two blog posts about Al Capone. They are Prohibition and the Rise of the American Gangster and The Taxman Cometh: U.S. v. Alphonse Capone. Both include links to catalog descriptions of records relating to Al Capone.
Finally, if you find a series that has not been digitized that you want to view, but do not want to come out to one of our facilities, you can do one of two things. If it is specific enough, you can order copies of some types of records online. You can do this through our Record Reproduction & Microfilm site. A reference archivist at the site where the records are held might be able to help you narrow your request down to be more successful.
If you're not quite as sure, you can hire a researcher. The National Archives has a list of researchers for hire on its site, divided by research topic specialty, media type specialty, presidential records, or state and facility location. The site is here: Independent Researchers Available for Hire.
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Another colleague at the National Archives suggests checking the source notes for the book "Get Capone". The material that Eig found is now with the national Archives at Chicago, either with Eig's personal papers or with our RG 118 material.
The National Archives at San Francisco (RW-SB) has the Alcatraz Inmate Case Files of Al Capone, in Record Group 129, Records of the U.S. Bureau of Prisons. Here's the National Archives Catalog entry: https://catalog.archives.gov/id/622809
The Capone files include mug shots, annual progress reports (containing social, medical, psychiatric information, and general impressions and recommendations of the prison classification committee), records of mail sent and received, records of visitors, written requests from the inmate to Federal officials, legal documents, sentence computation data, financial accounts (prison earnings and expenditures), U.S. Probation Office reports, conduct records, medical and dental records, copies of legal documents prepared and filed for submission to various courts, and administrative miscellany.
The files also include records on Capone's stay in other Federal facilities before and after Alcatraz, including Atlanta.