Yes, income is sourced to the state where it is earned.
However, depending on the amount you made in each state, you may not need to file a return, or owe taxes if you do need to file. States have different filing requirements, which can be found on their individual tax sites. You would be considered a "Non-Resident" filer in any state other than the state in which you live.
Be certain to complete your Non-Resident state(s) first in TurboTax, as you will receive a Credit for Taxes Paid to Other States from your Resident state. Finally, depending on the number of state returns you have to file, it may be more practical for you to use our TurboTax Desktop download product rather than TurboTax Online.
But if all your work is actually (physically) performed in Mississippi, and you never physically work in any other state, then you would have NO "other state income."
Currently, the only exception to that is California. Due to a recent court ruling in CA, if you are a sole proprietor and you provide services to a client located in CA, that income is taxable by CA - even if you never set foot in California.
other states have income tax laws regarding "telecommuting" so the question becomes how does he deliver the software to his clients