I'm a travel nurse, my home is in KY but I've been doing contract work all year in Texas. Do I need to file anything with KY tax since I made no money there last year?

[ToddL]

If you are a resident of KY, you are subject to KY tax on all your income - no matter where you earned it. You will need to file a KY tax return and report your TX income.

(All states with an income tax follow this rule). 

[nickname-11]

That is correct.  When enter your w2or 1099, it will indicate what state you earned income in.