Yes, your federal tax return should have all of your income recorded on it, so if you had more than one job during the year, then you will need to include all of your W-2's on your tax return.
You also mention multi-state, so if you earned income in two different states (either you moved or you lived in one state and worked in another), then you may be required to file income tax returns for each state as well. The type of state return (resident or non-resident) will depend upon your scenario, but TurboTax will walk you through the process of filing each necessary state tax return from the multiple W-2's that you enter on your federal return.
Here is more information on scenarios that would require one to have to file in more than one state. Plus other links with different state scenarios.
https://ttlc.intuit.com/replies/3300797
