@qbteachmt is correct…. A few questions… 

what is the home state and what are the others?  There may be reciprocity between 1 or more

Are there State withholdings from all 3?

generally speaking, and unless there’s reciprocity, you’ll be filing a couple non resident returns and taking a credit for tax paid to other jurisdictions in the home state.

it’s pretty common and correct for the employer to report the source income to the states in which it was earned.

- Ken