You can file Married Filing Jointly (MFJ) or Married Filing Separately (MFS) both your federal and state returns. You can also file your federal as Married Filing Jointly, but your state Married Filing Separately.
Generally, it is better to file the federal tax return as MFJ. However, when it comes to the state of KY (this particular state), it is best to file with whatever status gives you the best tax refund.
For more information, follow this link: Married Filing Jointly v Separately