You may need to contact your pension provider to correct any errors relate to the state information being reported on your 1099-R related to your pension distribution.
Unfortunately, even though your pension is from IL, you will need to include this pension income on your MO resident state income tax return. This is due to the fact that as a resident of MO, you are taxed on all income from all sources (including IL pension income) on your MO resident state income tax return. (Since the
federal law prohibits any state from taxing pension income of non-residents,
even if the pension was earned within the state, you will not have to file an IL nonresident state income tax return related to this IL pension income.)
You may be allowed to exempt your IL pension income (depending on a variety of factors) when filing your MO resident state income tax return. You will claim the pension exemption (if eligible) when preparing your MO resident state income tax return in TurboTax.
Please view this MO Department of Revenue diagram to see if your pension is eligible for an exemption : http://dor.mo.gov/pdf/pension.pdf
