State tax filing

I was a company driver at schneider national.i know im supposed to get a w2 but when i called payroll services, they didnt have me on file for anything in the data base so im now worried since i filed my taxes for current employer knowing i worked elsewhere but no chance of getting a w2 from former employer...will i be in trouble for not filing for former employer since i know i worked there legally as any other job and without a w2?