I recently moved to Virginia after graduating from Rutgers and I am working in DC. However, I go back to NJ on the weekends and kept my W-4 as NJ. Would I need to file my taxes for DC, VA, and NJ?
Please explain a bit more. Did you work and receive income in NJ during 2019? Or is that just where you went to school--and perhaps where your parents/family live? You did not say why you are going to NJ on weekends.
And why are you keeping your W-4 with your employer "as NJ?" If you did not live or work in NJ in 2019 then you have no reason to have the employer withhold NJ state income tax. If you lived and/or worked in NJ during 2019 then you might need to prepare a part-year NJ tax return for 2019.
If you did not work or live in N J, then you should be having tax withheld for DC. Then you will file a tax return for your non-resident state first (DC) for 2019 and a return for VA next.
We need more information from you. We do not understand what NJ has to do with all of it.
<<If you did not work or live in N J, then you should be having tax withheld for DC. Then you will file a tax return for your non-resident state first (DC) for 2019 and a return for VA next.>>
No - there is no non-resident DC return. If you work in DC and live in any other state, you're not subject to DC income tax.
Have you literally moved to VA and it is now your home (your domicile in tax terminology)? If so, your DC employer should be withholding VA taxes. Income earned in DC by a resident of VA is taxable only by VA. Only DC residents are subject to DC's income tax.
But if your own main home (your domicile) is still in NJ, and you are only in VA temporarily and for fewer than 183 days of the tax year - in other words if you haven't really "moved" to VA, then for tax purposes you remain a NJ resident and your DC employer should withhold NJ taxes.
But be aware that a person who lives in Virginia, or maintains a place of abode here, for more than 183 days during the year, or who is a legal (domiciliary) resident of the Commonwealth, is considered a Virginia resident for income tax purposes.