In addition to following the steps recommended by @xmasbaby0, you will need to know the filing requirements of the third state.
Some states, such as New York, require residents to file a return simply because they are required to file a federal return. If this is the case, you would need to file the return and then indicate that you did not have any income while a resident of the state.
For more information about state filing requirements, see Do I need to file a state return?
@johnnamm1999
