I just received my State Tax return and it says to include a copy of my Federal return and copies of my income documents. Which is my Federal return and what is “income documents”?

The Nonresident Alien Federal Income Tax Return is form 1040NR. You should just print the first two pages of the Federal tax return and attach them with the State tax return when you mail it. Please note that you must not attach the watermarked COPY pages.

The income documents are tax forms used to report US income and the taxes withheld from it, such as
W-2, 1042-S, 1099-B, 1099-DIV, 1099-G, 1099-INT, and 1099-MISC. Just copy the income forms you have and attach them as well.