George4Tacks
Level 15

Probably. When all else fails read the instructions and look for Who must file

MA https://www.mass.gov/doc/2019-form-2-instructions/download

BobKamman already gave you a good answer for CA. 

Generally investment income is not state specific and is taxable to the resident state of the beneficiary. The beneficiaries may have to file AZ income because of the rental being sourced there. 


Answers are easy. Questions are hard!