I already filed my taxes for 20204. I lived and worked in the state of PA for the entire 2024, however, I just received a W-2 from the state of NY from my previous job.

Yes.  You will need to amend your PA return to include that income on your PA return and you will also need to file a NY return if the amount of the W2 is greater than you NY standard deduction which is $8,000 if you are single and can't be claimed as a dependent on someone else's return.  

If required, you will file the NY return first, then you will claim a credit for the taxes paid to NY on your PA return.  Depending on the amount, you may or may not end up owing PA more.  NY tax rates are higher than PA, but PA taxes every dollar where as NY has a standard deduction so not every dollar is taxed.