Which states? If both states have a state income tax, the answer is yes. You prepare a NON-resident tax return for the state you work in first, then prepare a return for the state you live in.
https://ttlc.intuit.com/questions/2895920-why-would-i-have-to-file-a-nonresident-state-return
https://ttlc.intuit.com/questions/1901267-which-states-don-t-have-income-tax
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