I work in New Jersey, but live in New York City. Do I have to file state taxes for both states? I tried and I seem to have to pay on each state the same amount as if I lived and worked there. I can ask for a credit that discounts the amount of state taxes I paid to NJ and subtracts it to my taxable income in NY, but this still seems very unfair to me. Is there some way around this? Thank you.

Yes, you must file in both states.

The credit you claim on your NY tax return should prevent you from being taxed twice on the same salary.

What's unfair about that?