Yes, you would have to file a NJ Income tax return for this income. If you don't live in NJ, you would file as a Nonresident. Prepare your NJ return before your resident state, because your state will generally allow a credit for state taxes paid to another state. If you had NJ withholding from your winnings, you will get credit for that.
**Mark the post that answers your question by clicking on "Mark as Best Answer"