You file one fedeal tax return and three state returns (and possibly local tax returns as well). For the federal return you add the income from all three employers. For the state returns, you probably need to count only the income you earned in that state. It could get complicated, though, if you are required to report all income on one state return, only to claim a credit for any taxes you paid to a different state, but I do not know if that is common (or even necessary if you claim part-year residence in each of the three states).