What you need to do is to back to the 1099-R interview on your federal return, where you entered your pension's 1099-R.
If you indicated in Personal Info or My Info that your state of residence was Arizona, then three of so screens after you enter the 1099-R information and hit Continue, you will see a screen with the heading "Where is this distribution from?"
You will see a number of references to Arizona, because this is Arizona asking the source of the pension.
In your case, you check the appropriate description for your pension. This will include your pension in the $2,500 exclusion for certain pension income. See the instructions for line 29 in the Form 140 - Arizona Resident Personal Income Tax Booklet for 2018 at https://azdor.gov/file/6960/download?token=Z2bCZLNp
[Edited 3/27/2020 1:29 pm CDT - inserted year]
What you need to do is to back to the 1099-R interview on your federal return, where you entered your pension's 1099-R.
If you indicated in Personal Info or My Info that your state of residence was Arizona, then three of so screens after you enter the 1099-R information and hit Continue, you will see a screen with the heading "Where is this distribution from?"
You will see a number of references to Arizona, because this is Arizona asking the source of the pension.
In your case, you check the appropriate description for your pension. This will include your pension in the $2,500 exclusion for certain pension income. See the instructions for line 29 in the Form 140 - Arizona Resident Personal Income Tax Booklet for 2018 at https://azdor.gov/file/6960/download?token=Z2bCZLNp
[Edited 3/27/2020 1:29 pm CDT - inserted year]