can you provide more details? which states? are these private or public pensions?  

for example, you may have lived in one state where the PUBLIC pension was free of state tax, but if you moved to another state, that new state may tax that public pension from the original state. 

Normally, you are taxed based on the state where you live, not where the money is sent from 

Lived & worked in Missouri and have retired and living in Arizona. and it is a Public Pension.  It kind of makes sense, we always got our MO taxes refunded each year as we both have retirement from the state of MO.  Thank you

Are you saying that you are filing a Missouri return? If you are permanent residents of Arizona now and do not work in Missouri or have any Missouri source income, then it doesn't sound like you need to file a Missouri return, even if your income is from a public pension that you earned in Missouri.

The pension will be taxable in Arizona, because Arizona has an exemption only for federal pensions and Arizona pensions.

When did you move from Missouri to Arizona? If you moved during 2019, then that would explain the need to file a Missouri return.

Or am I misunderstanding your situation?