My tax return was returned to sender. What do I do now?

What address did you use?  Did you mail the federal tax return, Form 1040?  If so, what is your state?

Or is this for the state tax return?

Or do you mean your refund was returned to the IRS or state?  If the bank rejected the deposit the IRS or state will mail a check to the address on your tax return.  

Your tax return is the form you send to the government that shows your income and calculates your tax. The money the government sends back to you is your refund.

What was "returned to sender," your tax return or your refund?