This is all entered when you enter your W-2 in the Federal Income section. The amount you enter for the state will be carried over to the state return.
Even though you will be entering the Philadelphia city tax on your W2 entries, you will still have to file locally with Philadelphia, as TurboTax does not support most local filings including Philadelphia.
Because PA and NJ have reciprocity, you will only need to file a NJ return with your federal return. Then as mentioned, you will need to contact the city of Philadelphia to file the local return.
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