I traveled for work in 2019 and have to file in multiple states. I live in Illinois and one of the states I worked in was colorado. My federal W2 shows my Colorado state taxes instead of my Illinois state taxes. Is this right?

Yes, it is correct.  If you worked in Colorado the income you earned in Colorado is taxable to Colorado and you need to file a return as a non-resident of Colorado.

 

Any state where you earned income in that state the income is taxable for that state.

 

When you file your Illinois state return you will have a credit for taxes paid to Colorado since Illinois taxes you on all of your income whether earned in Illinois or not.  The credit for your Colorado taxes will show on Line 15 of the Illinois 1040 form.  As you go through your Illinois return make sure to choose the option for Credit for Taxes Paid to Another State and enter the amount paid to Colorado.

 

Link to Multiple States-Where to File

 

[Edited 02/28/20 9:37 PST]