How do I change my marital status on a W-4? My-pay, my payroll office, or the W-4 itself does not prompt me on the change. I have joint custody of my children and I claim 1 every year on my state and federal. I'm doing everything correctly but I cannot make the change on the marital status to single! My federal reflects single. Is this an issue or not. Does the state tax automatically default to marital status since I have joint custody? Or the fact that I claim my son? Please help! State of Illinois...

On the tax return you must report the correct marital status. For that purpose, it does not matter what is mentioned on your W4.

You submit W4 to your employer to guide how much taxes they should deduct from your paycheck. You can always submit a new (up dated) W4.
Here is the url Your U.S. Tax Return: Filing W4 Employee's Withholding Allowance Certificate