Received w-2 for multiple states. Do I have to file all of them?

I received a W-2 for multiple states. Do I need to file them all?

I made about $2000 from Montana work.

$300 from California work.  

$13,000 unemployment from CA. 

 

I assume Montana must have a filing threshold and I am below it. If am below it, do I need to file a state tax return for Montana if I am required to file for other states?

 

I received a W2 for the state of Colorado. But I have no earnings in CO. I just live there.

 

My pay stub shows I was charged state taxes in Montana, California, and Colorado.

I was taxed for the state of Colorado as well, even tho the income was made in other states. Which makes this all the more confusing for me. 

 

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Also, I received a total of 3 W-2's. All the same EIN. But different State ID no. 

The W-2's for Montana and California do not have the wages and federal income boxes filled (1-6).

But the W-2 for Colorado does have all those filled out. And the Colorado W-2 has all the income from Montana and California on it.