That sounds like a question for your employer. Ask the employer why they withheld tax for OR if you do not live or work in OR. If, in fact, they withheld tax for a state you do not live in or work in, then file a non-resident OR return to seek a refund. What state do you live and work in? If you live and work in a state that has a state income tax, you need to file a return for that state. Prepare the non-resident return first, then the return for your resident state.