Yes, you will report all your W-2s on the same return. 

If you moved from CA to AZ in 2020, you need to file Part-Year resident returns for CA and AZ.

Each state will tax you on the income earned while you were living in that state.

I lived in AZ for all of 2020

I have lived in AZ all year but worked in California and am receiving an error on real estate interest and points.  How do I see actual errors?

If you lived in Arizona all year, you will need to review your input in a few areas to ensure the California sources of income are reported on your California return. All other items should be reported on your Arizona return.

To ensure your return is calculated correctly, you will need to confirm a few items: 

In the "My Info" section of TurboTax, confirm that you have entered the correct state information: 

1. Click "Edit" to the right of your name 
2. Confirm your input under #2 "Tell us the state(s) you lived in" 
3. Do the same for your spouse if you are married filing jointly. 
4. Go back to the personal information section, and verify the mailing address and "Other state income" section.  Be sure to answer yes to the question asking "Did you make money in any other states?" and select California here. 

This will then allow you to enter your state returns for the nonresident state as well as the resident state. 

Please note the following as it will affect the calculations: 

Make sure you prepare the Nonresident California state tax returns first.   Be sure to answer the questions correctly to ensure only income sourced to those states specifically are reported.  The only items that should be reported on your California return are the wages.

Once you have entered all of the nonresident state information, then start your resident Arizona return.  This will ensure you receive any credits for taxes on income which may have been taxed in both states. 

As for the errors, when you receive the message in the review section, TurboTax will show you where the issues are and allow you to address the particular fields.   If you are not seeing exactly what area needs to be addressed, I recommend going back through the interview section for Deductions & Credits in the federal section.  Review each input section for interest and real estate taxes to ensure all fields have been answered. 

<<"Make sure you prepare the Nonresident California state tax returns first.">>

Not in this case.  CA and AZ are "reverse credit" states.  This means that - contrary to the usual - with CA and AZ it's the non-resident state (CA) that will credit you for the taxes paid to the resident state (AZ).

Therefore in TurboTax you should prepare your resident AZ tax return first, before you do your non-resident CA return.