New York is one of those states that taxes you everywhere but gives you a tax credit for taxes paid to other states. This is very common for NY/NJ situations where you live in one and work in the other.
In New York State, this is called the "New York State Resident Credit". Look for this on your NYS return, to see if you got credit for MA and NJ taxes. Ditto with the other states.
It will look like NYS is taxing everything, but you should be getting credit for taxes paid to other states.
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