If California tax has been withheld from your military pay, then yes, you want to file a California return.  As is shown at the following California FTB website:  CA Military Income, a California resident stationed outside of California is not taxed on Military Pay, because California no longer considers it to be "California Sourced".

Make sure your W-2 is marked as "active-duty" pay, and carefully follow the prompts in the California State return to mark that you were stationed outside of California.  If you do that, your Military Income should be excluded from California, and, since CA tax was withheld on that income, you should receive a refund of the withholdings.

Contact DFAS to have them stop withholding CA tax from your Military pay if you do not wish to go through this every year you are stationed outside of CA.

If your Home of Record is CA you pay taxes to CA. You are stuck for 2019 with CA but  you can change the HOR for 2020.

@ee-ea 

CA doesn’t tax non resident military even if the SLR is CA. Poster needs to file a nonresident CA return to get back the withholding and stop future CA withholding until they return to CA. 

you can change the HOR for 2020.

While it's easy to change your HOR with the military, that does not make it legal with the state or the IRS. Every state has their own residency requirements, and just being stationed in a state under military orders does not in and of itself meet the residency requirements of any state.

See https://www.caltax.com/wp-content/uploads/2018/03/NonresidentsONLINE.pdf page 50, "California Military Personnel Assigned to Stations Outside California"

Also, see https://www.dcms.uscg.mil/Portals/10/CG-1/PPC/guides/gp/spo/Deductions/State_Tax_Withholding_Excepti... for what you need to do via your CAC login to stop state tax withholding. Any questions on that, contact the base pay center (Called it CBPO in my day. Don't know what they call it now) or base legal.

If you filed a resident return in prior years and paid CA taxes, then you *NEED* to contact base legal for help with "un" doing that and filing a non-resident state return to get withheld taxes refunded. It's not as simple as amending your already filed and processed resident state tax return.

I am filing my nephew's taxes.  He is a TX residence but the military is still withholding CA taxes.  The federal filing for him does not produce a CA return for filing even though he is entitled to a refund of the taxes withheld.  What do we do?

You will file non-resident CA return.  

1.  Click "My Info" in the left hand menu

2.  Scroll down to "Other State Income"

3.  Click "Edit"

4.  You will need to add CA here

That should trigger a Nonresident CA return.  Be sure the W2 income is marked military pay.   Additionally, your nephew should visit his finance office to file the correct forms to have CA stop withholding if now a TX resident.

You indicated the click "My Info" in the left hand menu.  I do not see either a left menu or any category entitled "My Info".  There is personal information but I don't see an option for "other state income" either.  I am very well versed in this software but nothing seems to match up to your response.

Thank you.

never mind my last post.  While your terminology was off, it was all there.

@ee-ea If your HOR/state of domicile is California but you are active duty and stationed outside of California *you do not pay taxes on your active duty military pay*. **Never** change your HOR without understanding the broader tax implications of that, especially if you plan on returning to California after you get out and/or you intend on voting in California elections while stationed outside the state.