Usually, you have to file a resident return in the state where you are "domiciled" and the state where you earn income.
A domicile is about intent. Where do you consider home and where do you have ties? It is generally where you register your cars, vote, own property, where your kids go to school, etc.
Some states that are close in proximity have reciprocity agreements with each other that make your situation easier.
You need to check with your domiciled state's Department of Revenue to see the filing requirements if you work out of state.
