In the Arizona interview, do you remember seeing a screen titled "Taxes Paid to Another State or Country"?
Answer "Yes".
The next screen should be "Other State Taxes Summary". You should see Massachusetts here if you have already done the MA return. Click on Edit.
There follows a number of screens to verify your MA wages and tax and to verify that this income is taxed by both MA and AZ (as I imagine it is). Note that the credit is not the amount of tax paid to MA, but is prorated in Part 2 of AZ form 309. So complete that section above to trigger form 309 (and 301).
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