Yes you do. Just like when you have to enter a W-2 that had tax withheld or any other tax document that had tax withheld --- or that shows taxable income--- it must be entered on your tax return.
UNEMPLOYMENT COMPENSATION
Unemployment compensation is taxable on your federal return.
You will have to enter a 1099G that is issued by your state.
Some states will mail out the 1099G. Or you might need to go to your state’s unemployment website and use the password, etc. that you have been using to certify for weekly benefits to get your 1099G from the state’s site.
Enter your 1099G in Federal>Wages & Income>Unemployment
Go through the screens very carefully, making sure to enter any federal/state tax you had withheld from the unemployment.
STATES THAT TAX UNEMPLOYMENT BENEFITS
AZ, AR, CO, CT, DE, DC, GA, HI, ID, IL, IN, IA, KS, KY, LA, MA, ME, MD, MI, MN, MS, MO, NB, NM, NY,NC, ND, OH, OK, OR, RI, SC, UT, VT, WV, WI
STATES THAT DO NOT TAX UNEMPLOYMENT BENEFITS on the state return
AK, CA, FL, MT, NH, NJ, NV ,PA, SD, TN, TX, VA, WA, WY
YES ... since you did not already pay the taxes on the unemployment you only had withholdings just like on a W-2 for wages.
If you fail to enter all your income on the tax return then you will get audited.
All your income from all sources are reported on the return along with all the withholdings to balance off the tax liability. If you paid in too much you get a refund and if you didn't pay in enough you will owe.