It would depend on the laws in the states you work in and how much you earn there, but in general you do need to file a return in a state if you worked there. It wouldn't matter where the company that paid you was located. You need to look at the tax filing requirements for non-residents in each state you worked in to see if you need to file a return. If so, you can likely get a credit for taxes paid to that state on the tax return for the state you live in. That way you will not be double taxed on the same income.