It depends. If you performed work in more than one state and taxes were withheld from your wages, you will need to file a State Income Tax return in each state where you worked. However, if you performed work only in one state, but were paid by companies that are located in several states, you would file only in the state(s) where you actually worked.
Tip: When preparing returns in multiple states, it's best to do your nonresident and/or part-year resident state return(s) first, and your resident state last.
Additional Info: How many state returns can I prepare in TurboTax Online?
Do you need help entering the W2s? Are they from the same employer? If you work in more than 1 state or city, sometimes they will give you another W2 with the extra state information on it and the top part the same or not filled in. If this is the case, list one W-2 but include both state or local taxes on it. It will let you type in more than one line for boxes 15-20. Don't add the boxes together. Same for box 12. Just keep adding more rows.