Assuming that you are physically working in Massachusetts, not telecommuting, you have to file two state tax returns, a Massachusetts nonresident tax return and a New York resident tax return. You have to pay Massachusetts tax on the income you earn in Massachusetts. Since you live in New York, all your income is subject New York tax, no matter where the income is from. But you will get a credit on your New York tax return for part or all of the tax that you pay to Massachusetts. Prepare your Massachusetts nonresident tax return first, then your New York resident tax return, to make sure that the credit is calculated correctly.
