Rental property in NJ, I live in PA made a profit. I believe I have to file in NJ (never filed a NJ return) is that correct? But do I also file the gain with PA filing?

[re2boys]

Rental income on your NJ rental does not fall under the reciprocity agreement that exists only on wages between the two states.

You are required to file a NJ non-resident income tax return every year, but only on rentals and self-employment earned in NJ, whether it show a profit or loss.

You would then report all income, including your NJ rental, on your resident NJ income tax return.  If you had to pay any NJ state income tax, be sure that the PA return includes a Schedule G where you receive a credit for taxes paid to another state to counter the potential double taxation of your rental income.