It depends. For California, you are currently not taxed on income as a nonresident unless you physically work there. It is important to know that there are states that consider income of remote workers or telecommuters to be income earned in their state and taxable there (NY is most notorious for this). However, California still does not officially have this law.
So unless you were physically working inside of California, your income is not taxable there. It is taxable in Arizona. All of your income is taxable in your resident state. (If the income were in fact taxable in California, you would file a CA Nonresident return, and an Arizona resident return. Arizona would give you a credit for the taxes you pay in California on that income.)
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