Texas has no state income tax.
As @Anonymous_ said, once you become a resident of Colorado, all your income becomes taxable by Colorado, regardless of where you earn it.
If your employer is withholding CO state income tax for you, he is doing so on your behalf. It is still your obligation to file a Colorado tax return. On that return, you'll be credited for all the CO taxes that were withheld. (For this year, you'll be filing in CO as a part-year resident.)
You become a CO resident for tax purposes when you begin living in CO with the intent of making it your primary residence.
Be sure your employer is withholding CO state taxes. IF they are not, you'll have to make quarterly estimated tax payments to CO. This website explains how to do that:
https://tax.colorado.gov/individual-income-tax-estimated-payments
**Answers are correct to the best of my ability but do not constitute tax or legal advice.
