Can I have a different filing status on my Federal Returns and my State returns?

It depends on the state. What would you like to do? What state?

Kentucky is the state i'm interested in.

From Kentucky:
Filing Status 2, Married Filing Separately on This Combined Return—Use this filing status to report your incomes individually but on only one tax form. You do this by filling in both Columns A and B. You may file separately on this combined return regardless of whether you filed jointly or separately for federal purposes if both you and your spouse had income. This filing status usually results in a lower tax than Filing Status 3.
There are some other ways to file, but none mention the federal return.
Instructions on page 8:
<a rel="nofollow" target="_blank" href="https://revenue.ky.gov/Forms/740%20Packet.pdf">https://revenue.ky.gov/Forms/740%20Packet.pdf</a>

How about SC? 
For some reason I get a bigger return filling separate in the state.

Yes, you can. Please see this LINK for more information.

How about SC?  We both retired and living in SC. It saves money to use MFJ for federal and MFS for SC. Is this allowed?

FYI One is over age 65 the other is not. 

No.  SC requires the same filing status as used on your federal return.  Here is a link with discussion; select the question about one person being resident and the other nonresident.  

What about Montana?

Yes, you can file your Montana taxes separately even if you file a joint federal tax return.

Please see the link below for your filing options.

Montana filing status options

Please see the following link for more support on how to do this in TurboTax when you prepare your income tax returns.

How to File MFJ for Federal but separately for state

Hi do you know if New Jersey Allows this different filling status, married filling jointly (Federal) and married filling separately (State)

Read the rules starting on page 5   https://www.state.nj.us/treasury/taxation/pdf/current/1040i.pdf

How about Alabama? Can I use married filing separately for federal and married filing jointly for state?

It depends. According to the Alabama Dept of Revenue website, you may file a Married Filing Separate return and there is no restriction that prevents you from filing jointly on the federal and separately for the State of Alabama. There is a caveat in Turbo Tax however that is a downside and it is outlined in this Turbo Tax article. This will require you to prepare three separate returns, one federal for MFJ, and two state returns so each of you may file separately. Here are the steps.

1. "Prepare one married filing jointly (MFJ) return to file electronically with the IRS. Do not prepare a state return in this step.
2. Prepare a mock married filing separate (MFS) return for each taxpayer. This is for your records only and will be used to generate separate state returns for each person. The mock federal returns are not filed.
3. Then, for the first taxpayer, label and use the first mock MFS federal return to prepare their state MFS return. Use only their income and their half of the deductions from the MFJ federal return.
   • This ensures that TurboTax only transfers the first taxpayer's income to their married filing separate state return.
4. File this MFS state return, not the mock federal return that it pulls the information from.
5. For the second taxpayer (spouse), label and use the second "mock" MFS federal return to prepare their state MFS return. Again, use only their income and their half of the deductions from the MFJ federal return.
6. File the second MFS state return, not the second mock federal return that it pulls the information from.

Be sure to name each TurboTax federal return so you know the MFJ federal return to file, and which mock MFS federal and state return is for which person.

Yes, this can be tedious, but this is often the best way to ensure you accurately minimize state tax situations with two different state incomes.

Note: State returns prepared using the mock federal returns will require you to print and file your state return by mail, please click here to learn more."

maryland

Generally, you are required to use the same filing status on your Maryland income tax return as used on your federal income tax return or the filing status that you would have used if required to file a federal income tax return.

This applies whether you are a resident or nonresident of the State of Maryland

See determining your filing status  Filing Information for Individual Income Tax Maryland

State of Arkansas? 

Generally, you use the same filing status as you use on your federal return, but in Arkansas, If you are married, you and your spouse may file a joint return, separately on the same return, or separately on different returns.

how about Pennsylvania?

Pennsylvania requires that you use the same filing status that you used on your federal income tax return.  @aroo

HI

    How about california

California requires the same filing status used on the federal return. Exceptions: A taxpayer who is an RDP, and who files single for federal tax purposes must file married/RDP filing jointly or married/RDP filing separately for California purposes.

https://support.taxslayerpro.com/hc/en-us/articles/360009300113-California-State-Tax-Information#:~:text=California%20requires%20the%20same%20filing,filing%20separately%20for%20California%20purposes.

Note this is now out of date for Montana:

"Beginning with tax years starting after December 31, 2023, Montana taxpayers must use the same filing status they used for federal purposes."

Ref:
https://montana.servicenowservices.com/citizen?id=kb_article_view&sysparm_article=KB0013196