Being in the military does not make you exempt from paying federal taxes. If you were in a declared combat zone for a period of time in 2019, and qualified for any type of tax exemption because of that, the exempt amount will be shown in box 12 with code "Q".
Now some states will exempt active duty military from paying state taxes if certain specific criteria are met - and not all military meet those requirements either. But one requirement that seems consistent across all states that allow this, is that the military member be stationed outside of their residence state for the entire tax year.
Now there are 37 states that tax personal income. So there's no way for us to know what state you may be referring to - or if you're even referring to state taxes at all. You'll have to provide more details.
