Yes! All F-1 VISA holders who have been in the United States for less than 5 years are considered nonresidents for tax purposed and must file the Internal Revenue Service (IRS) form 8843. If you have earned income, you must file 1040NR or 1040NREZ. You may also need to file a Massachusetts State Tax form well.
You should make an appointment with the International Student advisor to know more about filing taxes. You may want to check this link first
F-1 Students Filing Taxes, before going to the advisor.