I own a home in NM, my income was money my ex employer from Colorado owed me.
No income in NM.
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Typically, yes, you would file in both states.
You would prepare the Colorado tax return first since that's the state you left and is your non-resident state. Then, prepare a New Mexico return. Since you lived in New Mexico when you received the income, you will prepare that one but will get a credit for taxes paid to Colorado.
For New Mexico, since you didn't earn income from New Mexico sources, you would file for a credit for the taxes paid (withheld) for Colorado.
When would I have to file returns in more than one state?
Yes. If the income was earned in CO, then you pay taxes on it to the state of CO. It doesn't matter where you lived at the time. It only matters that you earned it "IN" Colorado.
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