I work in Arkansas and live in Mississippi. Do I have to file state taxes for Arkansas?

Yes.  You are required to file a nonresident Arkansas tax return reporting any taxable income from Arkansas sources. 

I'm so confused.  Will there be a special form I'll need to fill out in my case? This yr my employer took state taxes on me from January 2018 thru March 2019. They stopped AFTER  I notified them that I live in Mississippi.  So what should I do?  Last yr I owed state taxes for the state of Mississippi & Arkansas but I paid into the state of Arkansas for a entire yr. 

You will want to file a nonresident  Arkansas tax return, then a resident Mississippi return.  You can enter your W2 exactly as it is and TurboTax will guide you in the state section to get the correct returns filed.

@Ajoynes77