You would file a Part-Year Return to both Arizona and Pennsylvania, reporting to each state only the Income Earned and Taxes Paid there.
Since I can't see your returns, I can't say whether this was done correctly. If you earned income and paid tax to both states and this was shown on your W-2's, TurboTax would split the income/taxes for you on both returns.
Try doing PA first, then AZ to see if anything changes.
Click this link for more info on How to file a Part-Year Resident Return.
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