You could file a Non-Resident return to both Rhode Island and Connecticut, since you basically lived in Massachusetts all year.
Or, depending on the date you left CT, you could report some income/tax paid there on a Part-Year Resident return.
As a Resident, MA will tax all your income, but give you credit for tax paid to other states.
Here's more info on How to File a Non-Resident State Return and Allocating Income for a Part-Year Resident.
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