Hi. I am a resident of NJ, but I'm a consultant in NY. I receive my payroll from my company based in NJ.

In my W2, the state is NY. Should I be filing taxes for both NY and NJ?

Any help is appreciated. This is my first time to file taxes.

Yes, you must file in both sates. You work in NY, so you have to file taxes with NY as a non-resident (NY's form IT-203), and you are taxed on the wages you earn in NY. You live in NJ, so you must file a tax return there as a resident (Form NJ-1040). You report all income, and calculate an initial tax due on all income, then take a credit for taxes paid to other jurisdictions (i.e. NY).