Yes, because of the Military Spouses Residency Relief Act the wages earned in Illinois by the spouse of the active duty member are not taxable by Illinois when you are residents of another state. You will have file Form IL-1040 and Schedule NR to get a refund.
To avoid Illinois Income Tax withholding in the future, you can provide your employer with a completed Form IL-W-5-NR, Employee’s Statement of Nonresidence in Illinois.
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