You will need to file returns in both states. 

If LA taxes were withheld, then you will need to file a LA return to get those taxes refunded to you.  You will need to file a non-resident return in LA and specify that the income earned there is $0 (since you lived and worked in MS).  Plus, you should contact your employer about making sure that your withholding taxes get changed to MS instead of LA so that you will not have this same scenario next year. 

Then you will also need to file a resident return for MS.  Note that you may owe taxes for MS since none were withheld on your paychecks.  Also, note that TurboTax recommends creating the non-resident returns first and then the resident one.

Below is more information about filing a non-resident return in TurboTax:

https://ttlc.intuit.com/replies/3302052