Yes. You’re required to pay tax on all your income to the state you live in (if your state has personal income tax). This is true no matter where your employer is located.
Generally, you’ll need to file a nonresident state return if you made money from sources in a state you don’t live in. If another state’s withholdings are listed on the form, it means taxes have been withheld from your income and you may be eligible for a refund. In that case, you’ll want to file a return in that state.
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