Yes, you do. Often college students are still dependents of their parents who are in one state---and the parents can say the student lived with them even if the student was away at school. But if you had a job in the state where you attended school, you made money in an another state. Depending on what the states are, you might have to prepare returns for each state. But we would need to know which states.
**Disclaimer: Every effort has been made to offer the most correct information possible. The poster disclaims any legal responsibility for the accuracy of the information that is contained in this post.**
As @xmasbaby0 said, for more specific advise, identify the state you worked in and your residence state and whether there was any state withholding on your W-2 (boxes 15-20)