Check the boxes for CT and MA. Split the income based on the dates of residence if it was not fully received before leaving Connecticut.
See 2019 Massachusetts Form 1 NRPY Instructions, page 7: Massachusetts includes taxable pensions and annuities as gross income for part-year residents among other items listed. Later, on this same page, column three: "Your deductions and exemptions are based on the number of days you were a Massachusetts resident or the amount of income that is subject to Massachusetts tax."
Typically, the allocation is done by residence status. Therefore, Connecticut will collect tax on the portion while Connecticut residents. This would make the pension received in full as of April taxable to Connecticut only. The other pension would be taxable in Connecticut only through April. The balance of payments received May through December would be taxable by Massachusetts unless they are coming from the US Government or Massachusetts.
It would appear you will have an overpayment in Connecticut and an underpayment in Massachusetts.
I am sure you have updated the pension with your new address and requested Massachusetts taxes withheld going forward.
Click the link for 2019 Form CT-1040 NR/PY Instructions. See page 27 for a part-year residents worksheet. It would appear Connecticut will only tax income received while residing in that state.
