You have not said how many years behind you are. Using TurboTax, you can only use the online program for a 2018 tax return, but you can use desktop software to prepare returns for as far back as 2015. Each year must be prepared separately and submitted separately to the IRS. Do not make the mistake of combining income from more than one tax year on the same tax return.
To file a return for a prior tax year
If you need to prepare a return for 2015, 2016, or 2017 you can purchase and download desktop software to do it, then print, sign, and mail the return(s)
https://turbotax.intuit.com/personal-taxes/past-years-products/
Remember to prepare your state return as well—if you live in a state that has a state income tax.
When you mail a tax return, you need to attach any documents showing tax withheld, such as your W-2’s or any 1099’s. Use a mailing service that will track it, such as UPS or certified mail so you will know the IRS/state received the return.
Note: The desktop software you need to prepare the prior year return must be installed/downloaded to a full PC or Mac. It cannot be used on a mobile device.
If you are getting a refund, there is no penalty for filing late. It is too late, however, to receive a tax refund for a 2015 tax return, even if the tax form shows a refund.
If you owe tax to the IRS/state they still want to be paid. There will also be penalties and interest for late filing and late payment if you owe. The software will not calculate that; the IRS will calculate it and bill you later.
If you need to go further back than 2015, you could get the forms and prepare them by hand, or you could seek local paid tax help.
I am in the process of filing several years of late returns. I filed tax year 2017 returns a few months ago, and I received a state refund as a result. Specifically, I received that state refund (for tax year 2017) in calendar year 2020.
Here's my question: As I fill out my tax year 2018 returns, Turbo Tax wants to know about state refunds received from tax year 2017 returns. But since I didn't receive those refunds until 2020, should I exclude them from my 2018 returns?
Right. Any state refunds you got in 2020 will go on your 2020 federal return. You report them the year you actually received it.