Pension income is taxable in the state where you reside, not in the state where you worked to earn the pension.
Effective
for retirement income received after December 31, 1995, federal law prohibits
any state from taxing certain retirement income (mainly pension income) unless
you are resident of, or domiciled in, that state. For example, if you receive a
pension from your former California employer and you now reside in New Mexico,
California may not tax your retirement income. Because you are now a New Mexico
resident, your retirement income is taxable in New Mexico.