You and your husband will need to file a few different state returns for this scenario. You will need to file a resident return for the state you lived in all year, and your husband will need to file part-year resident returns for Indiana and Kentucky. You can file these state returns as married filing separately even if you filed jointly on your federal return.
Here are some links to help you walk through the scenarios above, plus how to file part-year returns.
https://ttlc.intuit.com/replies/3302342
https://ttlc.intuit.com/replies/3302008
