Depending on when you actually moved to TN, you will file either a part-year or Nonresident return for MS, and will receive back any withholdings that were withheld in excess for that state. Just enter all your state information correctly in the Personal Information section of your federal program, as to living and earning income in another state.
Your employer cannot do anything to fix 2017, just make sure you give them the correct state information for 2018.
