You file an IL resident return and pay IL tax on all your income, including the TX and CA income. You file a non resident CA return and pay tax on your CA source income. IL will give you a credit, or partial credit, on what you pay CA. TX does not have an income tax; but that does not get you out of paying IL tax on the TX income.
You did not mention any IA income, so an IA return is not required. Even if you had IA income, IL & IA are reciprocal states. You do not file an IA return unless IA tax was mistakenly withheld.
