Almost certainly Yes.
Some border states to IL have reciprocal tax agreements with the other so that only one state tax form is required.......................BUT, IL and MO do not.
You file a non-resident MO tax return for just the MO wages...and an IL Resident tax return for All income from everywhere. IL allows a credit for taxes paid to MO, but you have to prepare the MO non-resident tax return before the IL Resident one.
____________*Answers are correct to the best of my knowledge when posted, but should not be considered to be legal or official tax advice.*
