Yes. You must always file a return in your home state. That's because your state of legal residence can tax ALL your income, regardless of where it was earned.
You'll be able to take a credit on your home state return for taxes paid to non-resident states, so you won't be double-taxed.
https://ttlc.intuit.com/questions/1901271-how-do-i-file-a-nonresident-state-return
**Answers are correct to the best of my ability but do not constitute tax or legal advice.
