There are penalties for the failure to file a federal tax return. However, the penalties are imposed only if taxes are due.
If you receive a refund, you would not owe a penalty for not timely filing for that tax year.
If the IRS received reports of income for you and no tax return from you, it may have prepared a return for you. The IRS default method of preparing a return may have resulted in additional taxes. If you have been moving around, you may not have been receiving the notices from the IRS.
My understanding is that TX has no state income tax. If you lived or worked in other states, you need to check whether those other states have state income taxes. Some cities also have their own income taxes.
In general, a taxpayer has three years after the due date of the federal tax return to collect a refund. There is no time limit for the government to collect taxes for returns that were not filed.
If you want your refunds, you should promptly prepare the returns and file them.
You should review your specific facts with a tax professional (attorney, CPA, or Enrolled Agent) to see what you should specifically do.