Yes, that is correct. Prepare your nonresident Massachusetts return prior to your resident Maine return. The credit you receive on your Maine return is for taxes actually paid to Massachusetts, not taxes withheld by Massachusetts. TurboTax needs to calculate the amount you actually pay to Massachusetts before determining how much the credit should be on your Maine return.
If your W-2 lists income and taxes withheld for both states, TurboTax will automatically carry the correct state's information over to the state forms. You may need to tell it specifically not to include the other state's income.
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