Based on the information you provided in the comments, you have to file a NY nonresident tax return as well as a NJ resident tax return, as re2boys said. The NY tax that was withheld will go towards the tax on your NY nonresident return. You will get a credit on your NJ return for part or all of the tax that you pay to NY. Prepare your NY nonresident return first, then your NJ resident return.
It looks like you do not have to file a PA tax return.
