For almost all income, you pay income tax based on where your permanent residence is located (your "abode"), and not where the income was paid from.
If you are having AZ tax withheld by the plan trustee, you probably need to call them and stop your AZ withholding and start IN withholding. Then you will file an AZ tax return to get that withholding back. For the year you moved, you would file a part-year AZ resident return and a part-year IN resident return, and pay AZ income tax on the portion of income paid to you while living in AZ, and you would pay IN income tax on the portion paid to you while living in IN. You get credit for any withholding and if you were over-withheld, you get a refund of the difference. In future years, if you are an AZ non-resident, you don't pay income tax on the money, and if you had withholding, you would file an AZ non-resident return to show you owe no tax and get refund of the withholding.
Now, this rule applies most of the time. If you are living out of AZ, you only pay income tax on "AZ-source" income, but the source depends on where you live and what you do, not the location of the payer. For example, if you work for an AZ company in IN, that's IN source income. But if you sell AZ real estate and have a taxable gain, that's AZ income even if you live elsewhere. Pensions and retirement pay is almost always considered income where you live, not where it was paid. If there is an exception for this particular income that makes it AZ-source (you would have to research this), then when you file your IN tax return, you get a credit for tax you paid on the same money in AZ so you aren't double-taxed. But this is very rare. I would bet 99-to-1 that you only owe income tax on this pension in the state you have your permanent residence, not the state that pays the pension.
