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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
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.
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