When you enter the rental income and expense information in the Federal section, TurboTax will transfer the information to the State return. Complete the Arizona state interview and answer all of the questions so that TurboTax can determine whether there are any changes needed for Arizona state taxes.
Be sure to prepare the Arizona nonresident return before your resident return, if your resident state also has state income taxes. Your resident state will normally allow a credit if any of your income was also taxed in another state.
See also this TurboTax article and this one on multiple-state situations.
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