Yes, and from your statement,(if you were living in Michigan at the time), you would be a part-year Michigan resident.
If so, you would file a part-year Michigan return, pay Michigan tax on the income earned working there and any income earned while living there. Next file a part-year Arizona return and pay tax on the income earned working there and/or while living there.
(as a non-resident, you would pay Michigan AND Arizona tax on the Michigan income, but you would also be driving from Arizona to Michigan on a daily basis.)
https://azdor.gov/individual-income-tax-filing-assistance/determining-filing-status-non-residents-pa...
