What state am I a resident of? What states should I file state returns for?

I grew up in Alabama. I currently have an Alabama license and my car is still registered there.

 

I was a student at the University of Kentucky until May 2019. I had two part time jobs there making less than $3000 total. 

In June of 2019, I relocated to Illinois for a salaried position. I am in a 18-24 month rotational program so I did not change my residency. However, I do rent an apartment and pay bills here. 

How should I file my taxes? Do I file a resident state tax return for Alabama although I didn’t earn any income there? Do I file non-resident for Kentucky? Illinois?