@raffealsears , in general, you will need to file a return for the state where you received your income from ( be it wages, unemployment, business, rental etc. ) as a Non-resident and also a return for the state that you are resident of ( at the end of the year ). Thus in your case ( and assuming that you have become a resident of the State of Missouri ) you file a return for Connecticut as a Non-Resident ( recognizing all in-state sourced income like wages, unemployment etc. ) , pay taxes for the income and then file a return for your current Resident State ( Missouri ) on world income & taking credit for taxes paid to another state ( Connecticut ).
Does this make sense ?
