After you file

Children normally start life as a resident of the state that their parents live in. Missouri considers that state as your domicile. That state (Illinois in this case) remains your domicile until you take a number of steps to show that you have changed your domicile, like buy a house in the new state, register to vote, pay utilities, change drivers license, and tell people that you have a new residence.

Since you told TurboTax that you still lived in Illinois, Illinois has a right to look for tax from you, unless you can demonstrate to Illinois compelling reasons on why you have changed domiciles. Simply working for a company in another state is not sufficient.

Missouri defines a resident this way:

Resident - An individual who is domiciled in Missouri, unless the individual:

1. maintains no permanent place of abode in this state;
2. does maintain a permanent place of abode elsewhere; and
3. spends in the aggregate not more than 30 days of the taxable year in Missouri.

OR

Resident - An individual who is not domiciled in Missouri but:

1. did have permanent living quarters in Missouri; and
2. spent more than 183 days of the taxable year in Missouri.

Note that until you change your domicile to a new location (Missouri), you are still liable to be taxed in Illinois. Yes, this means that because of the 183 day rule above, you can be taxed in both Missouri and Illinois. You avoid double taxation by doing what xmasbaby said above, doing your Missouri return first, then your Illinois return, which should bring over taxes paid to Missouri to be used as a credit in Illinois.

Then, on your next tax return, give your Missouri address, if you have really moved to Missouri.