Yes, you should file a return in both states in order to receive a refund for the tax that was withheld. You may also be required to do so. You should file a nonresident state return for the state where you didn't live and a resident return for the state where you did live. It is important to file the nonresident state return first.
Please view the TurboTax FAQ below for further instructions on filing a nonresident state return.
https://ttlc.intuit.com/replies/3302052
