State income tax for private lending out-of-state?

[Sven C.]

I'm doing private lending to an out-of-state rehabber/flipper that I've gotten acquainted with. I understand there are lots of issues to consider and I don't want advice on all of the issues on this post. I just want to ask specifically about state income tax.

Let's say I live in state #1 and the rehabber/flipper's business is in state #2 and the property they're rehabbing/flipping is in state #3. All three have state income tax. Which of the three states do I have to file state income tax returns for? I think state #1 for sure. But what about #2 and #3?