Yes - Since you had income in both states, you will have to file two state returns for 2019--one as a resident; the other as a nonresident. Be sure to prepare the nonresident state return first.
For the future, you should check to see of the two states have reciprocity. Reciprocity is an agreement between two states that allows residents of one state to request exemption from tax withholding in the other (reciprocal) state. This can save you the trouble of having to file multiple state returns in the future. To find out if your two states have reciprocity, please see this TurboTax Help article: Which states have reciprocal agreements?
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