You pay state income tax to the state you live in. If you did not live in AZ at all during 2025, you do not pay state tax to AZ nor do you file an AZ tax return, unless AZ tax was withheld.
If you moved from AZ to NJ sometime during 2025 then you will have to file a part year AZ return to see a refund of AZ tax that was withheld from the pension.
If you did not live in AZ at all in 2025 then prepare a non-resident AZ return BEFORE you prepare your NJ return.
And...contact the financial institution that manages the pension and have them stop withholding AZ tax.
**Disclaimer: Every effort has been made to offer the most correct information possible. The poster disclaims any legal responsibility for the accuracy of the information that is contained in this post.**
This answer has been verified for accuracy by an Intuit expert employee
