I live in Wisconsin but work in Minnesota. Minnesota did not withhold any tax from my income. Do I still need to file with both states?

[DanielV01]

Yes.  Both states tax you.  You must file a Minnesota nonresident return for the income you earned there.  You may owe there if no MN state tax was withheld.  However, your WI refund will be increased by the amount you owe.  This is because WI will give you a credit for the amount of tax you must pay to MN.

You may wish to speak to your company to start withholding at least some tax to MN.  You still want an amount withheld to WI as well, because, if I'm not mistaken, I believe WI has a higher tax rate than MN.