There is no such thing as Federal Residency.
Residency is determined by the state that you "intend to return to". Intent is evidenced by things like which state issued your driver's license, where are you registered to vote, do you own property.
If AZ is where your spouse has done those things, then he would file an AZ Resident Tax Return.
If he worked in MT, you would file a MT Non-resident Tax Return and report only the MT income on that return.
The Non-resident Tax Return should be completed first so that the credit for taxes paid to another state is correctly passed to your Resident Tax Return.
On your AZ tax return you report your "worldwide" income. You then receive a credit for taxes paid to another state so you are not taxed twice on the same income.
