MA taxes its residents on all their income, no matter where it is earned (so do other states with income taxes).
If you had to pay CA and NY taxes on the income you earned in those states, MA will give you a credit (against MA taxes) for what you paid to those states.
To get this credit, you have to prepare the NY and CA returns first, and then complete the MA state return. This way, the MA tax program will know how much you paid to the other states (it transfers automatically in TurboTax).
