If you are a permanent resident of DC or a statutory resident then you will have to file a DC resident return.
DC defines a statutory resident as "any individual who maintains a place of abode within the District for an aggregate of 183 days or more during the taxable year, whether or not such individual is domiciled in the District."
If you are a full-year DC resident, you would be a nonresident of NY and New Mexico.
You would report to NM the amount of wages earned while working in NM.
New Mexico imposes a tax on the net income of every resident and on the net income of every nonresident employed or engaged in business in, into or from this state or deriving any income from any property or employment within this state.
Personal Income Tax Information Overview
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