Can I claim unemployment in the state my company is in even if i live in another state? I live in AZ. My company is out of NY. I want to know if i can file for unemployment in NY as opposed to AZ or if i have to file in the state i am living. Hi, What kind of work did you do? Specifically, did you ever have to go to New York to do your job? I ask because people who telecommute for a NY company may not .. or at least have a great deal of trouble collecting unemployment.