I am starting a job in New Jersey and I live in westchester New York.

Will I be paying only New Jersey withholding in my paycheck?

Or will I be paying both ny and nj?

You may do either. At the very least you will have NJ taxes withheld. If the job is your only source of income then you are unlikely to owe much (if any) NY income tax, so no point in having that withheld as well. However, if you have other sources of NY-based income that would otherwise not have any NY income tax withheld - such as dividends, capital gains, etc - you may elect to also have some NY taxes withheld, although in general for this situation I would recommend filing NY state estimated income taxes each quarter instead - this gives you much better control over how much you're paying to ensure you don't pay too much nor too little.

What ebaines recommends about NY state estimated tax payments is valid, but I suspect that your employer WILL withhold NY state taxes as well as NJ state taxes if you ask them to.