Hello,
In the instructions for the interview, it states, IMMIGRATION RECORDS: Applicants who have been denied admission to the United States, requested extensions, changed status, applied for asylum, been deported, or granted voluntary departure from the United States must bring all relevant documents from the Department of Homeland Security or the immigration judge.
My fiancee applied for a US Travel Visa, and she was denied. I believe she was denied because she said she wanted to visit the United States to meet her fiancee's family. As anyone who has gone through this and was denied, the US does not give any reason for the denial and just hands you a general piece of paper that shares why they might have been denied. There is no physical evidence of the denial. Of course, they have the records. Anything we should have with us? We do not have an interview date, just getting everything prepared.