Yes. If the state in which you own rental property has a personal income tax you will have to file a non-resident tax return for that state if you meet the minimum filing requirements.
In Oklahoma, Non Residents are required to file if they have more than $1000 in Gross Income. Here is a link to those filing requirements for your information: Oklahoma Filing Requirements
If your rental made a profit you will have to pay tax in that state, but can generally receive a credit on your resident tax return for taxes paid to another state.
TurboTax recommends that you process your Oklahoma Non-Resident Return first, before starting on your Resident Return.
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