I worked 4 months in NY 8 months in NJ, lived 6months in NY 6 months in PA. While living in NY I closed out my 401k and paid 20 percent penalty. Do I have to report this as income in all 3 states when filing as well as my federal.

You will have to file in all three states. You report the 401K closeout on your NY tax return.

I STRONGLY recommend professional tax help in your case.