We have been residents of New Mexico, but worked in the state in Wyoming

Wyoming does not have a state income tax, so there is no filing for Wyoming.

 

If New Mexico is your "domicile" as of the end of 2019, you will need to file a New Mexico resident return.  If another state was your "domicile" on December 31, 2019, but you lived in New Mexico part of the year, you need to file a New Mexico part-year resident return.

 

The TurboTax article at this link may help you sort through your situation.

 

 

If you kept your domicile - your main, permanent home - in NM all of 2019, and you went to WY temporarily for work purposes and then returned to your home in NM, then for tax purposes you are a domiciliary resident of NM, and ALL your income is taxable by NM, regardless of where you earned it.