If I live in AZ, but work in CA, do I have to file in both states?

[DoninGA]

Yes, you do.

See this TurboTax support FAQ for filing tax returns in multiple states - https://ttlc.intuit.com/community/returns-and-forms/help/when-would-i-have-to-file-returns-in-more-t...

And https://ttlc.intuit.com/community/state-taxes/help/how-do-i-file-a-nonresident-state-return/00/26066

[TomD8]

CA and AZ are reverse-credit states.  This means that both states tax the income, but only the non-resident state offers a credit.  Therefore in your case you should prepare your resident state return first, before you complete your non-resident state return - which is the opposite of the usual sequence.