I live in MA and work in Vermont, you must file in both. Massachusetts taxes any income you have, regardless of the state you earned it. I usually get money back from the VT tax I paid, and then end up owing Massachusetts.
generally speaking, and this is not a professional opinion, but one based on my experience--I live in Florida, but my income is derived from Pennsylvania--we have to pay state income tax on the money that is earned from the state of PA. I file PA tax return.