I am a resident of NJ, but worked in NY. My husband lived and worked in PA during the week and came home to NJ on the weekends and collected unemployment from PA. I believe it makes sense to file married filing jointly for federal taxes, but how does it work for state taxes considering there are 3 different states involved? Should we file married filing jointly for all 3 states? Will it affect unemployment? Thanks!

Most states require you file the same way you file on your federal return.

Filing jointly may make the state returns a bit more complex than you would be used to, but any competent tax professional will know how to properly allocate the income on the returns.