Yes, you have to file in Illinois as well as Indiana. Your home state can tax you on all your income, regardless of where you earn it.
You will need to file both a Non-resident Indiana return AND a regular Illinois return. Here's how: https://ttlc.intuit.com/questions/1901271-how-do-i-file-a-nonresident-state-return
**Answers are correct to the best of my ability but do not constitute tax or legal advice.
