My husband worked in NY for about 2 months but we live in CT. When I filed the NY tax form, I was surprised how much tax we owed - almost the entire amount withheld while he was working there. Am I doing something wrong?

Your husband will report the NY income on the NY tax return as part year resident.
He will also report same income on the CT tax return and then claim credit for taxes paid to CT.

CTresident:

Even though you are paying taxes only on the NY income earned, you are paying at the rate ductated by ALL of your earned income. NY state's top rate is 5.85%, so it is likely you DO owe the taxes indicated on the NY state return.