The 2016 federal and state tax refund that I received in 2020 must be reported in which tax return 2017(that needs to be filed this week)(2018 and 2019 are next) or 2020?

[DanaB27]

You do not need to report the federal refund but might have to report the state refund on your 2020 tax refund (year you received it) if you used the Itemized Deduction.

Please see Do I need to report the state or local refund I got last year? Is it taxable? for details.

[Mike9241]

to clarify, federal is not reported except for some states which use the federal taxes as part of the state tax calculation.  the 2016 state refund would be taxable in 2020 to the extent you received a tax benefit from deducting state income taxes on your federal return for 2016.