If your business is a sole proprietor or single member LLC, then the business activity needs to be included in your personal return on Schedule C, E, or F (depending upon the type of business.) Therefore, in that scenario, there is not a separate return for the business.
But, if your business income is $400 or more for the year, then you need to file a tax return for yourself and the business because self-employment taxes will be due on the business income.