You will need to prepare a Missouri (MO) return (Texas (TX) does not have an income tax). In this case, you would be a part-year resident for MO. You have the choice between filing as a full-year resident or a non-resident. Your state of residence for tax purposes is almost always your HOR.
MO does not have an exemption for income earned from the military; however, if you file as a non-resident, your military income would not be taxed in MO.