No, the state return is not attached to the federal filing, however any forms W2 or forms showing tax withholding should be attached to the federal filing.
When filing a state return, sometimes the federal return needs to be attached. TurboTax will let you know if that’s required.
Although your state tax return is prepared by transferring your federal information into it, they are not attached to one another. The returns are processed by 2 different agencies.
Select your state from this IRS Federal Tax Return list and find the address you need to mail your federal tax return to.
Go here to find out where you mail your state tax return to.
When you mail in your federal as well as your state, you need to include any documents showing tax withheld, such as your W-2’s or any 1099’s. It's also a good idea to use a mailing service that will track it, such as UPS or certified USPS. This way you will know when the IRS has received the return.