Do I need to file all three state returns if I lived in CO during all of 2023 but earned income in NC and PA?

Yes, if your home state is CO, then you would need to file a CO resident return to report the income you earned everywhere.

In general, your home state will tax all in come from all sources.  Then you will file a nonresident return for the states that you do not reside in, but you visit for work and earn money in.  When you file, you will fille out your nonresident states first.  Then you will fill out your resident state, claiming a credit for taxes paid to the nonresident states on your home state return.  You may or may not still end up owing money to your resident state depending on whether or not their tax rate is higher or lower than your nonresident state.  If the non resident state had a higher tax rate than your resident state, your credit will be limited to the amount of tax you would have paid to your resident state.  They will not give you a refund of the taxes you paid to the nonresident state. 

In  your case, since you earned money in PA and NC, you will need to file a nonresident return for each of those states.  Then on your CO return, you will claim a credit for taxes paid to the nonresident states.  You may still end up owing money to CO as Co has a higher tax rate than PA who has a flat rate of 3.07%, so the amount that you pay to PA will only partially offset what you owe to CO. On the other hand, North Carolina has a flat rate of 4.75% which is slightly higher than CO, so there is a good chance you will not have to pay taxes to CO on the income you earned in NC, however, you still must include it on your return. 

Multiple States

File Non Resident State Return