There are a couple possiblities:
1. Could someone have filed you as a dependent on their Federal and State returns?
2. Sometimes, there can be typos with the social security number, so please verify your social security number.
3. If you are sure you did not file your Federal or State taxes and no one else would have done it on your behalf and you suspect identity theft, please see below:
https://ttlc.intuit.com/replies/3301430