Both. You need an AZ non-resident return to pay AZ tax on AZ-source income. Then you need a CO resident return to pay income tax on all your world-wide income. You get an offsetting credit on your CO return for taxes paid to AZ that mostly offsets the problem of double taxation. Turbotax will do all this for you, just be sure to do the AZ non-resident return first so that the credit will flow properly to the CO return.
