State tax filing

It depends, but You probably do not have to file a Kentucky return.   Indiana and Kentucky are known as reciprocal states, which means that if you live in Kentucky, but work in Kentucky, you are only taxed to Indiana.  There are times, however, that if the correct form (42A809) is not filled out with your employer in Kentucky, then taxes are withheld to Kentucky when they shouldn’t be .  See this FAQ for more information:   https://ttlc.intuit.com/replies/4776822

What is your situation?   Check your W2 from Indiana to see if they took out tax to Indiana.  If they did not (only withheld taxes to IN), then make sure in TurboTax that you answer no to the question “Did you work in another state outside of Indiana?” You will not be required to file a state return for Kentucky.  However, if you paid local taxes (to a KY city or county), you may be entitled to a credit on your Indiana return.  See this answer link for more information:  https://ttlc.intuit.com/replies/5634069

If your Indiana job did withhold taxes for Kentucky, click yes on the question “Did you work in another state outside of Indiana?”, and then enter Kentucky.  You will want to fill out the Kentucky return as a non-resident reciprocal state (TurboTax will generate that option).  Good news Kentucky will return all the state (but not local) taxes you paid.  Bad news:  Indiana taxes all of the income you made in Kentucky (However, as the link above shows, you can receive credit for local taxes paid to Kentucky on your Indiana return).