Yes, you will need to file a nonresident tax return for Massachusetts and a resident return for Pennsylvania.
If you're a nonresident with an annual Massachusetts gross income of more than either $8,000 or the prorated personal exemption, whichever is less, you must file a Massachusetts tax return.
You are an individual nonresident if you are neither a full-year or part-year resident.
Nonresidents use Form 1-NR/PY: Massachusetts Nonresident/Part-Year Tax Return.
Commonwealth of Massachusetts - Who Must File a Massachusetts Personal Income Tax Return
To ensure accurate calculations, always complete the nonresident return first if filing in multiple states because your resident state might give you a credit for any taxes paid in that situation.
Please see TurboTax FAQ: How do I file a nonresident state return?
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