You will have to file a nonresident Montana income tax return. When you get to Montana Portion of Income enter $0 in every box under Montana Portion.
You may want to mail in your Montana return (even if you e-file federal) with a note explaining that your employer withheld tax by mistake and that you never lived or worked in Montana. If you do, attach a copy of your state return (if you have one), showing you reported all your income to another state.
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