It depends on the details: which other states, what is your residence state and what the source of the other state income is.
The general rule is: your report all your income on your home state return, even the income earned out of state. You file a non-resident state return for the state you worked in and pay tax to that state. Your home state will give you a credit, or partial credit, for what you paid the non-resident state. Reciprocal state rules may apply, if you have wages from another state.
Do the nonresident state return first.
In some cases the nonresident state will give you a credit, rather than your home state. It depends on what the specific states are.
Of course, if you worked in a state that does not have an income tax, you do not have to file in that state.