State tax filing

In the W-2 interview (Federal Taxes->Wages & Income->Wages and Salaries and click Start or Edit/Add on the "Wages and Salaries" link), be sure to look for the "Add a W-2" button to add your second W-2.

On the Arizona W-2, be sure to add the entries for Arizona taxes in boxes 15-17 (these are normally not filled in for Texas taxpayers).

There is no Texas state tax return, of course, but you will need to start the Arizona return by going to State Taxes (at the top on the same menu bar as Federal Taxes), click Continue, then "Add Another State".

I expect that you will file Arizona as a non-resident if any relocation there was temporary (i.e., you kept your home and permanent mailing address in Texas).

TurboTax will make the whole process relatively painless.