If I live in Nevada and work in arizona do I have to file state taxes

You will always file a resident tax return in the state in which you live.  Your resident state taxes all of your income regardless of where you earn it.

You must file a nonresident return for Arizona.  Your resident state will give you a credit for the tax you must pay to the state in which you are working so that you are not over-taxed, but otherwise both states are taxing you.  Prepare this return first so that TurboTax may correctly calculate your credit.  Here's an FAQ to assist you with this:  

Once you've determined that you need to file a nonresident state return, the first thing you want to do is make sure you've filled out the Personal Info section correctly:

1. With your return open, click the first tab, Personal Info.
2. Continue to the Your Personal Info Summary screen.
3. Scroll down to the last section, Other State Income, and click Edit.
4. At the Did you make money in any other states? question, answer Yes and make sure your nonresident state(s) are selected from the drop-down.
5. Click Continue to return to the Your Personal Info Summary screen.

After you finish your federal return, you'll automatically move to the State Taxes tab, where you'll see your nonresident state(s) listed in addition to your resident state.

To ensure accurate calculations, we strongly recommend preparing your nonresident state return before you prepare any resident or part-year state returns. More tips:

• Select the long form (if the option is available) even if TurboTax defaults to the short form.
• Only report the income attributable to the nonresident state.
• If preparing a nonresident return solely to recover erroneous tax withholdings, enter 0 on the screen that asks for the amount of income earned in that state. This will eliminate your tax liability for that state, resulting in a full refund.