1. You need to first select one or more state under Profile;
2. Under General Info, select a residency state and check the box for multi-state return, if applicable;
3. For multi-state, make sure you code the sourcing for each item under SOURCE according to how it should be taxed in each jurisdiction; and
4. Input screens may sometimes contain line items and a State & Local tab for entries specific to state and local returns; and
5. Under State & Local, make the relevant entries for PY/NR info, modifications, credits, etc.

You may also like to refer to the articles below for further guidance.

https://proconnect.intuit.com/community/form-w-2/help/how-to-create-a-multi-state-return/00/4715

https://proconnect.intuit.com/community/multi-state-taxes/help/input-multi-state-amounts-in-proconne...

https://proconnect.intuit.com/taxprocenter/practice-management/handling-multi-state-returns-in-proco...