Since state taxes were withheld on the W-2 you received for Massachusetts, then you should file a Massachusetts state return in order to get a refund of the tax you paid. Otherwise, you wouldn't need to file for Massachusetts since your income from that state was below the filing threshold.
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. See this Massachusetts webpage for more information.
@Anonymous1420
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