It's not clear. If you are a part year resident in each state then there is no credit. If you are a resident of Arizona (AZ) then you completed them in the correct order.
Possible solution:
Check the Colorado (CO) return first, write down any gain attributable to the sale, then write down the tax that is actually calculated on the CO return.
Next go to the AZ return and watch for a screen that asks about a 'Credit for taxes paid to another state', and enter the numbers you wrote down.
Final option is to delete your resident state, complete the CO, then add your resident state back to your file. TurboTax will handle it from here.
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