It depends.
If you earned any income from Arizona sources while residing within Arizona, you might need to file a part-year resident Arizona return. It would also depend upon your filing status and the amount of your Arizona adjusted gross income. If you meet the filing threshold amounts, then you would need to file a part-year resident Arizona return as well.
Please see this link from Arizona for more details on the potential filing requirements to determine if you meet this requirement.
Do I have to file tax returns in more than one state also has a more detailed explanation that might assist you as rules vary by state.
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