Even if you file the federal and state returns together, that doesn't mean you'll receive the refunds at the same time. The IRS and your state have separate refunding procedures and schedules; so they may process returns and approve refunds at different times. This is not unusual. And they each send them separately to you.
You can use your State Department of Revenue's website to check status of state tax refund. Choose your state here How do I track my state refund? and it will give you steps to track the status.