Dreyfus State Municipal Bond Funds NCSR Certified annual shareholder report (management investment company)

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number			811-04906

	BNY Mellon State Municipal Bond Funds
	(Exact name of Registrant as specified in charter)

	c/o BNY Mellon Investment Adviser, Inc. 240 Greenwich Street New York, New York 10286
	(Address of principal executive offices) (Zip code)

	Bennett A. MacDougall, Esq. 240 Greenwich Street New York, New York 10286
	(Name and address of agent for service)

Registrant's telephone number, including area code:				(212) 922-6400

Date of fiscal year end:		04/30
Date of reporting period:		04/30/2021

FORM N-CSR

Item 1. Reports to Stockholders.

BNY Mellon State Municipal Bond Funds, BNY Mellon Connecticut Fund

ANNUAL REPORT

April 30, 2021

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The views expressed in this report reflect those of the portfolio manager(s) only through the end of the period covered and do not necessarily represent the views of BNY Mellon Investment Adviser, Inc. or any other person in the BNY Mellon Investment Adviser, Inc. organization. Any such views are subject to change at any time based upon market or other conditions and BNY Mellon Investment Adviser, Inc. disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund in the BNY Mellon Family of Funds are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund in the BNY Mellon Family of Funds.

Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value

Contents

THE FUND

FOR MORE INFORMATION

Back Cover

DISCUSSION OF FUND PERFORMANCE (Unaudited)

For the period from May 1, 2020 through April 30, 2021, as provided by Daniel Barton and Jeffrey Burger, Portfolio Managers

Market and Fund Performance Overview

For the 12-month period ended April 30, 2021, Class A shares of BNY Mellon Connecticut Fund, a series of BNY Mellon State Municipal Bond Funds, produced a total return of 7.97%, Class C shares returned 7.10%, Class I shares returned 8.24%, Class Y shares returned 7.99% and Class Z shares returned 8.24%.¹ In comparison, the Bloomberg Barclays U.S. Municipal Bond Index (the “Index”), the fund’s benchmark index, which is comprised of bonds issued nationally and not solely within Connecticut, achieved a total return of 7.75% for the same period.²

Municipal bonds benefited from support programs launched by the Federal Reserve (the “Fed”) in response to the COVID-19 crisis. The fund’s Class A, Class I, Class Y and Class Z shares outperformed the Index, mainly due to the strong returns of Connecticut issues and to an overweight position in lower-quality revenue bonds.

The Fund’s Investment Approach

The fund seeks to maximize current income exempt from federal income tax and from Connecticut state income tax, without undue risk. To pursue its goal, the fund normally invests at least 80% of its net assets, plus any borrowings for investment purposes, in municipal bonds that provide income exempt from federal and Connecticut state income taxes. The fund invests at least 70% of its assets in municipal bonds rated, at the time of purchase, investment grade (i.e., Baa/BBB or higher) or the unrated equivalent as determined by BNY Mellon Investment Adviser, Inc. For additional yield, the fund may invest up to 30% of its assets in municipal bonds rated below investment grade (“high yield” or “junk” bonds) or the unrated equivalent as determined by BNY Mellon Investment Adviser, Inc. The dollar-weighted average maturity of the fund’s portfolio normally exceeds 10 years, but the fund may invest without regard to maturity.

The portfolio managers focus on identifying undervalued sectors and securities and minimize the use of interest-rate forecasting. The portfolio managers select municipal bonds for the fund’s portfolio by using fundamental credit analysis to estimate the relative value and attractiveness of various sectors and securities and to exploit pricing inefficiencies in the municipal bond market, and by actively trading among various sectors, such as pre-refunded, general obligation and revenue, based on their apparent relative values. The fund seeks to invest in several of these sectors.

Markets Recover as Economy Rebounds

The municipal bond market recovered from the unprecedented volatility that occurred in March and April 2020 as the COVID-19 virus spread, and government shutdowns caused the economy to slow dramatically. Prior to the reporting period, the Fed responded to the pandemic with two emergency cuts in the federal funds target rate in March 2020, bringing it to 0-0.25%.

The Fed also launched a $500 billion Municipal Liquidity Facility to purchase short-term municipal securities. This, combined with the $2 trillion Coronavirus Aid, Relief, and Economic Security (CARES) Act, dramatically changed investor sentiment, which helped the municipal bond market to quickly rebound.

With the market rebound in the second quarter of 2020, issuance also rebounded as issuers sought to take advantage of record-low funding costs. As in 2019, much of the new issuance was

in taxable bonds. Tax-exempt issuance may have been inhibited by the absence of advance refunding, which was eliminated by the Tax Cuts and Jobs Act of 2017. In the past, advance refunding allowed issuers to replace higher-yielding, tax-exempt debt with lower-yielding, tax-exempt debt. Without advance refunding, some entities have taken advantage of low yields by issuing taxable debt instead of tax-exempt debt. New supply later in the reporting period was also driven by the desire of many issuers to secure financing ahead of the November 2020 election.

Early in the reporting period, less risky bonds benefited from the volatility. General obligation bonds outperformed revenue bonds, and AAA and AA rated bonds outperformed A and BBB rated bonds. In addition, the investment-grade market outperformed the high-yield market, and shorter-term issues performed better than longer issues.

As government-mandated lockdowns were eased, strong inflows to municipal bond funds late in 2020 bolstered the market. Approval of multiple COVID-19 vaccines and passage of a federal stimulus package also contributed further to demand. Although the stimulus package did not include direct relief for states and municipalities, the market took a favorable view of funding for hospitals and mass transit, among other segments, as well as for consumers and small businesses.

The results of the November 2020 election also added to demand. A Democrat-controlled Congress made federal support for state and local governments more likely. It also made personal income tax hikes more likely, adding to the appeal of tax-exempt municipal securities. The prospect of an increase in the corporate tax rate made municipal bonds more appealing to institutional buyers, and low interest rates overseas attracted foreign investors as well.

Investors were also encouraged by the fiscal health of municipal issuers, which turned out to be much stronger than expected. Tax revenues remained robust because real estate and income tax collections failed to decline as much as predicted. Progressive tax regimes proved advantageous because higher-earning, white-collar workers were largely unaffected by the pandemic. In addition, federal support to households, school systems, the transportation system and other segments bolstered the economy and prevented sales taxes from declining as much as originally feared.

Revenue bonds generally outperformed general obligation bonds late in the period as hard-hit market segments such as transportation and hospitals recovered when investors became more confident that the end of the pandemic was likely. Yield spreads of municipal bonds over Treasury bonds compressed late in the reporting period. This was due to both a rise in long-term Treasury yields and to a decline in long-term municipal bond yields. Although the municipal bond market experienced some turmoil late in the period as the prospects of a stronger economy and an increase in inflation have grown, most of the volatility occurred among longer maturities.

Late in the reporting period, the municipal bond market continued to perform well, driven by strong fundamentals and the passage of the $1.9 trillion American Rescue Plan, which included $350 million in direct aid for state and local governments.. In addition, with the possibility of higher personal and corporate income tax rates likely, inflows to municipal bond mutual funds in 2021 have been strong.

States in weaker fiscal condition tended to outperform during the reporting period, and this benefited Connecticut bonds. But investors were also attracted by the steps taken to improve the state’s fiscal condition, which has helped fundamentals and resulted in a credit rating upgrade. The state’s “rainy day” fund, a key indicator of fiscal health, has reached $3.8 billion, a state record.

DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)

Connecticut Bonds Outperformed the Index

The fund’s relative performance versus the Index was driven by the returns of Connecticut bonds generally versus the Index. Yields on municipal bonds from Connecticut tend to be higher due to the state’s relatively weak fiscal condition, and weaker bonds rebounded strongly during the reporting period. In addition, the fund had an overweight position to revenue bonds, and this sector outperformed general obligation bonds. Within the revenue bond sector, the fund’s overweight positions to the hospital sector in particular were additive to returns. Positions in A rated and BBB rated bonds also made positive contributions.

On a less positive note, not all positions in the revenue sector contributed positively to returns. The fund’s overweight to education, and water and sewer bonds detracted from returns, as did the underweight position in transportation. Duration and curve positioning had a neutral effect on performance, and the fund did not employ derivatives during the period.

Cautiously Optimistic

The outlook for the municipal bond market has brightened, and the trend in credit quality has been positive. With the rollout of COVID-19 vaccines, the reopening of the economy and continued fiscal stimulus, the economic outlook remains upbeat. We believe that Connecticut’s fundamentals will remain positive over the short term, though certain issues, including pension funding, bear watching over the long term.

Although rising interest rates present somewhat of a concern, municipal bonds have performed well relative to Treasuries in recent months as long-term rates have risen. In addition, with corporate and personal income tax rates likely to rise, we believe that municipal bonds should remain an attractive alternative, especially for higher-earning households.

May 17, 2021

¹Total return includes reinvestment of dividends and any capital gains paid and does not take into consideration the maximum initial sales charge in the case of Class A shares, or the applicable contingent deferred sales charge imposed on redemptions in the case of Class C shares. Had these charges been reflected, returns would have been lower. Class I shares, Class Y shares and Class Z shares are not subject to any initial or deferred sales charge. Past performance is no guarantee of future results. Share price, yield and investment return fluctuate such that upon redemption, fund shares may be worth more or less than their original cost. Income may be subject to state and local taxes, and some income may be subject to the federal alternative minimum tax (AMT) for certain investors. Capital gains, if any, are taxable. The fund’s return reflects the absorption of certain fund expenses by BNY Mellon Investment Adviser, Inc. pursuant to an agreement in effect through September 1, 2021, at which time it may be extended, modified or terminated. Had these expenses not been absorbed, returns would have been lower.

² Source: Lipper Inc. — The Bloomberg Barclays U.S. Municipal Bond Index covers the U.S.-dollar-denominated, long-term, tax-exempt bond market. Investors cannot invest directly in any index.

Bonds are subject generally to interest-rate, credit, liquidity and market risks, to varying degrees, all of which are more fully described in the fund’s prospectus. Generally, all other factors being equal, bond prices are inversely related to interest-rate changes, and rate increases can cause price declines.

The amount of public information available about municipal bonds is generally less than that for corporate equities or bonds. Special factors, such as legislative changes, and state and local economic and business developments, may adversely affect the yield and/or value of the fund’s investments in municipal bonds. Other factors include the general conditions of the municipal bond market, the size of the particular offering, the maturity of the obligation and the rating of the issue. Changes in economic, business or political conditions relating to a particular municipal project, municipality or state in which the fund invests may have an impact on the fund’s share price.

Recent market risks include pandemic risks related to COVID-19. The effects of COVID-19 have contributed to increased volatility in global markets and will likely affect certain countries, companies, industries and market sectors more dramatically than others. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.

FUND PERFORMANCE (Unaudited)

Comparison of change in value of a $10,000 investment in Class A shares, Class C shares, Class I shares and Class Z shares of BNY Mellon State Municipal Bond Funds, BNY Mellon Connecticut Fund with a hypothetical investment of $10,000 in the Bloomberg Barclays U.S. Municipal Bond Index (the “Index”)

^† Source: Lipper Inc.

Past performance is not predictive of future performance.

The above graph compares a hypothetical $10,000 investment made in Class A shares, Class C shares, Class I shares and Class Z shares of BNY Mellon State Municipal Bond Funds, BNY Mellon Connecticut Fund on 4/30/11 to a hypothetical investment of $10,000 made in the Index on that date. All dividends and capital gain distributions are reinvested.

The fund’s performance shown in the line graph above takes into account the maximum initial sales charge on Class A shares and all other applicable fees and expenses on all classes. The Index is not limited to investments principally in Connecticut municipal obligations. The Index, unlike the fund, covers the U.S. dollar-denominated long-term tax-exempt bond market. These factors can contribute to the Index potentially outperforming or underperforming the fund. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.

FUND PERFORMANCE (Unaudited) (continued)

Comparison of change in value of a $1,000,000 investment in Class Y shares of BNY Mellon State Municipal Bond Funds, BNY Mellon Connecticut Fund with a hypothetical investment of $1,000,000 in the Bloomberg Barclays U.S. Municipal Bond Index (the “Index”)

^† Source: Lipper Inc.

^†† The total return figures presented for Class Y shares of the fund reflect the performance of the fund’s Class A shares for the period prior to 9/3/13 (the inception date for Class Y shares), not reflecting the applicable sales load for Class A shares.

Past performance is not predictive of future performance.

The above graph compares a hypothetical $1,000,000 investment made in Class Y shares of BNY Mellon State Municipal Bond Funds, BNY Mellon Connecticut Fund on 4/30/11 to a hypothetical investment of $1,000,000 made in the Index on that date. All dividends and capital gain distributions are reinvested.

The fund’s performance shown in the line graph above takes into account all applicable fees and expenses of the fund’s Class Y shares. The Index is not limited to investments principally in Connecticut municipal obligations. The Index, unlike the fund, covers the U.S. dollar-denominated long-term tax-exempt bond market. These factors can contribute to the Index potentially outperforming or underperforming the fund. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.


Average Annual Total Returns as of 4/30/2021
	Inception Date	1 Year	5 Years	10 Years
Class A shares
with maximum sales charge (4.5%)	5/28/87	3.10%	1.51%	3.05%
without sales charge	5/28/87	7.97%	2.45%	3.52%
Class C shares
with applicable redemption charge^†	8/15/95	6.10%	1.65%	2.73%
without redemption	8/15/95	7.10%	1.65%	2.73%
Class I shares	12/15/08	8.24%	2.70%	3.79%
Class Y shares	9/3/13	7.99%	2.66%	3.70%^††
Class Z shares	5/30/07	8.24%	2.68%	3.76%
Bloomberg Barclays U.S. Municipal Bond Index		7.75%	3.51%	4.44%

^† The maximum contingent deferred sales charge for Class C shares is 1% for shares redeemed within one year of the date of purchase.

^†† The total return performance figures presented for Class Y shares of the fund reflect the performance of the fund’s Class A shares for the period prior to 9/3/13 (the inception date for Class Y shares), not reflecting the applicable sales load for Class A shares.

The performance data quoted represents past performance, which is no guarantee of future results. Share price and investment return fluctuate and an investor’s shares may be worth more or less than original cost upon redemption. Current performance may be lower or higher than the performance quoted. Go to www.im.bnymellon.com for the fund’s most recent month-end returns.

The fund’s performance shown in the graphs and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. In addition to the performance of Class A shares shown with and without a maximum sales charge, the fund’s performance shown in the table takes into account all other applicable fees and expenses on all classes.

UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)

As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.

Review your fund’s expenses

The table below shows the expenses you would have paid on a $1,000 investment in BNY Mellon State Municipal Bond Funds, BNY Mellon Connecticut Fund from November 1, 2020 to April 30, 2021. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.


Expenses and Value of a $1,000 Investment
Assume actual returns for the six months ended April 30, 2021

	Class A	Class C	Class I	Class Y	Class Z
Expenses paid per $1,000^†	$4.37	$8.51	$3.16	$4.87	$3.47
Ending value (after expenses)	$1,023.60	$1,019.40	$1,024.90	$1,023.50	$1,025.70

COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)

Using the SEC’s method to compare expenses

The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.


Expenses and Value of a $1,000 Investment
Assuming a hypothetical 5% annualized return for the six months ended April 30, 2021

		Class A	Class C	Class I	Class Y	Class Z
Expenses paid per $1,000^†		$4.36	$8.50	$3.16	$4.86	$3.46
Ending value (after expenses)		$1,020.48	$1,016.36	$1,021.67	$1,019.98	$1,021.37
^†	Expenses are equal to the fund’s annualized expense ratio of .87% for Class A, 1.70% for Class C, .63% for Class I, .97% for Class Y and .69% for Class Z, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

STATEMENT OF INVESTMENTS

April 30, 2021



Description	Coupon Rate (%)		Maturity Date	Principal Amount ($)		Value ($)
Long-Term Municipal Investments - 97.8%
Connecticut - 95.9%
Connecticut, GO, Ser. A		5.00	3/1/2026	5,000,000		5,643,308
Connecticut, GO, Ser. D		5.00	11/1/2031	2,500,000		2,555,937
Connecticut, GO, Ser. D		5.00	11/1/2028	5,000,000		5,115,137
Connecticut, GO, Ser. D		5.00	11/1/2027	3,500,000		3,580,948
Connecticut, Revenue Bonds, Ser. A		4.00	5/1/2036	1,000,000		1,217,493
Connecticut, Revenue Bonds, Ser. A		4.00	9/1/2035	5,000,000		5,711,683
Connecticut, Revenue Bonds, Ser. A		5.00	8/1/2034	3,000,000		3,497,212
Connecticut Bradley International Airport, Revenue Bonds		5.00	7/1/2049	2,500,000		3,037,200
Connecticut Clean Water Fund - State Revolving Fund, Revenue Bonds (Green Bond) Ser. A		4.00	2/1/2035	2,125,000		2,561,915
Connecticut Clean Water Fund - State Revolving Fund, Revenue Bonds (Green Bond) Ser. A		5.00	3/1/2029	2,600,000		3,046,935
Connecticut Development Authority, Revenue Bonds, Refunding (The Connecticut Light & Power Company Project) Ser. A		4.38	9/1/2028	3,900,000		3,943,103
Connecticut Health & Educational Facilities Authority, Revenue Bonds (Church Home of Hartford Project) Ser. A		5.00	9/1/2046	1,000,000	^a	1,101,333
Connecticut Health & Educational Facilities Authority, Revenue Bonds (Church Home of Hartford Project) Ser. A		5.00	9/1/2053	1,500,000	^a	1,646,568
Connecticut Health & Educational Facilities Authority, Revenue Bonds (Fairfield University) Ser. Q1		5.00	7/1/2046	1,000,000		1,178,191
Connecticut Health & Educational Facilities Authority, Revenue Bonds (Hartford HealthCare Obligated Group)		5.00	7/1/2045	2,500,000		2,841,682
Connecticut Health & Educational Facilities Authority, Revenue Bonds (Hartford HealthCare Obligated Group) Ser. E		5.00	7/1/2027	3,265,000		3,699,593
Connecticut Health & Educational Facilities Authority, Revenue Bonds (Mary Wade Home Obligated Group) Ser. A1		5.00	10/1/2054	2,000,000	^a	2,089,230

STATEMENT OF INVESTMENTS (continued)



Description	Coupon Rate (%)		Maturity Date	Principal Amount ($)	Value ($)
Long-Term Municipal Investments - 97.8% (continued)
Connecticut - 95.9% (continued)
Connecticut Health & Educational Facilities Authority, Revenue Bonds (The Stamford Hospital Obligated Group) Ser. K		4.00	7/1/2046	2,000,000	2,148,678
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding		5.00	7/1/2025	1,490,000	1,500,735
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding (Connecticut College) Ser. L1		4.00	7/1/2046	2,000,000	2,218,256
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding (Fairfield University) Ser. R		5.00	7/1/2032	1,000,000	1,209,512
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding (Nuvance Health Obligated Group) Ser. A		4.00	7/1/2041	2,250,000	2,542,230
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding (Quinnipiac University) Ser. L		5.00	7/1/2045	3,000,000	3,398,066
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding (Quinnipiac University) Ser. L		5.00	7/1/2036	5,000,000	5,723,501
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding (Quinnipiac University) Ser. M		5.00	7/1/2036	200,000	234,999
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding (Sacred Heart University) Ser. I1		5.00	7/1/2042	2,000,000	2,385,149
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding (The Choate Rosemary Hall Foundation) Ser. F		4.00	7/1/2042	1,110,000	1,328,414
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding (The Greenwich Academy) (Insured; Assured Guaranty Municipal Corp.) Ser. E		5.25	3/1/2032	6,880,000	9,088,628



Description	Coupon Rate (%)		Maturity Date	Principal Amount ($)	Value ($)
Long-Term Municipal Investments - 97.8% (continued)
Connecticut - 95.9% (continued)
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding (The Loomis Institute) (Insured; American Municipal Bond Assurance Corp.) Ser. F		5.25	7/1/2028	1,760,000	2,212,406
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding (The Stamford Hospital Obligated Group) Ser. I		5.00	7/1/2030	6,750,000	6,801,466
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding (The Stamford Hospital Obligated Group) Ser. L1		4.00	7/1/2029	500,000	603,735
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding (The Stamford Hospital Obligated Group) Ser. L1		4.00	7/1/2030	865,000	1,054,379
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding (The University of Hartford)		5.00	7/1/2034	425,000	509,049
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding (Trinity College) Ser. R		4.00	6/1/2045	2,300,000	2,628,484
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding (Trinity Health Obligated Group)		5.00	12/1/2045	7,500,000	8,956,978
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding (University of New Haven)		5.00	7/1/2036	1,000,000	1,157,579
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Refunding (Yale New Haven Health Obligated Group) Ser. E		5.00	7/1/2027	3,960,000	4,535,309
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Ser. A		4.00	7/1/2040	500,000	572,165
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Ser. A		5.00	7/1/2027	750,000	934,378
Connecticut Health & Educational Facilities Authority, Revenue Bonds, Ser. B		5.00	12/1/2040	4,020,000	4,672,276

STATEMENT OF INVESTMENTS (continued)



Description	Coupon Rate (%)		Maturity Date	Principal Amount ($)		Value ($)
Long-Term Municipal Investments - 97.8% (continued)
Connecticut - 95.9% (continued)
Connecticut Higher Education Supplement Loan Authority, Revenue Bonds, Ser. A		5.00	11/15/2022	1,400,000		1,498,180
Connecticut Higher Education Supplement Loan Authority, Revenue Bonds, Ser. A		5.00	11/15/2021	1,450,000		1,486,264
Connecticut Higher Education Supplement Loan Authority, Revenue Bonds, Ser. A		5.00	11/15/2023	1,400,000		1,554,071
Connecticut Higher Education Supplement Loan Authority, Revenue Bonds, Ser. B		3.25	11/15/2036	1,400,000		1,428,158
Connecticut Housing Finance Authority, Revenue Bonds, Refunding, Ser. A1		3.65	11/15/2032	4,185,000		4,555,850
Connecticut Housing Finance Authority, Revenue Bonds, Refunding, Ser. C1		3.25	5/15/2044	2,500,000		2,757,844
Connecticut Housing Finance Authority, Revenue Bonds, Refunding, Ser. C1		4.00	11/15/2047	3,165,000		3,442,052
Connecticut Municipal Electric Energy Cooperative, Revenue Bonds, Refunding, Ser. A		5.00	1/1/2038	3,000,000		3,213,636
Connecticut Transmission Municipal Electric Energy Cooperative, Revenue Bonds, Refunding, Ser. A		5.00	1/1/2042	3,000,000		3,083,761
Greater New Haven Water Pollution Control Authority, Revenue Bonds, Refunding (Insured; National Public Finance Guarantee Corp.) Ser. A		5.00	8/15/2035	25,000		25,092
Greater New Haven Water Pollution Control Authority, Revenue Bonds, Refunding, Ser. B		5.00	8/15/2026	450,000		514,789
Harbor Point Infrastructure Improvement District, Tax Allocation Bonds, Refunding (Harbor Point Project)		5.00	4/1/2039	4,000,000	^a	4,602,919
New Haven, GO (Insured; Assured Guaranty Municipal Corp.) Ser. A		5.00	8/1/2039	3,000,000		3,764,070
New Haven, GO, Refunding (Insured; Build America Mutual) Ser. B		5.00	8/15/2027	750,000		882,854
New Haven, GO, Refunding (Insured; Build America Mutual) Ser. B		5.00	8/15/2026	610,000		721,731
New Haven, GO, Ser. A		5.25	8/1/2027	1,740,000		2,146,111



Description	Coupon Rate (%)		Maturity Date	Principal Amount ($)		Value ($)
Long-Term Municipal Investments - 97.8% (continued)
Connecticut - 95.9% (continued)
South Central Connecticut Regional Water Authority, Revenue Bonds, Refunding, Ser. B		5.00	8/1/2038	3,500,000		4,204,449
South Central Connecticut Regional Water Authority, Revenue Bonds, Refunding, Ser. B		5.00	8/1/2037	3,430,000		4,130,079
South Central Connecticut Regional Water Authority, Revenue Bonds, Refunding, Ser. B1		5.00	8/1/2041	2,445,000		3,022,285
The Metropolitan District, GO, Refunding		5.00	7/15/2034	1,065,000		1,332,773
The Metropolitan District, GO, Ser. A		4.00	7/15/2035	1,275,000		1,529,244
The Metropolitan District, Revenue Bonds (Clean Water Project) Ser. A		5.00	10/1/2031	2,050,000		2,741,830
The Metropolitan District, Revenue Bonds, Refunding (Green Bond) Ser. A		5.00	11/1/2042	2,000,000		2,262,800
The Metropolitan District, Revenue Bonds, Refunding, Ser. A		5.00	4/1/2022	1,510,000	^b	1,577,301
University of Connecticut, Revenue Bonds, Ser. A		5.25	11/15/2047	4,000,000		4,985,930
Waterbury, GO, Ser. A		4.00	2/1/2045	5,000,000		5,819,269
Waterbury, GO, Ser. A		5.00	11/15/2038	2,500,000		3,041,419
					189,208,601
U.S. Related - 1.9%
Children's Trust Fund, Revenue Bonds, Refunding, Ser. A		0.00	5/15/2050	12,000,000	^c	1,875,436
Puerto Rico Highway & Transportation Authority, Revenue Bonds, Refunding (Insured; Assured Guaranty Municipal Corp.) Ser. CC		5.25	7/1/2034	1,500,000		1,834,769
					3,710,205
Total Investments (cost $181,440,189)				97.8%	192,918,806
Cash and Receivables (Net)				2.2%	4,317,690
Net Assets				100.0%	197,236,496

^a Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2021, these securities were valued at $9,440,050 or 4.79% of net assets.

^b These securities are prerefunded; the date shown represents the prerefunded date. Bonds which are prerefunded are collateralized by U.S. Government securities which are held in escrow and are used to pay principal and interest on the municipal issue and to retire the bonds in full at the earliest refunding date.

^c Security issued with a zero coupon. Income is recognized through the accretion of discount.

STATEMENT OF INVESTMENTS (continued)


Portfolio Summary (Unaudited) ^†	Value (%)
Education	22.9
General Obligation	18.3
Medical	14.1
Water	11.4
Transportation	6.2
Nursing Homes	4.8
Single Family Housing	3.7
General	3.1
Student Loan	3.0
Development	2.0
Multifamily Housing	1.8
Power	1.6
Utilities	1.6
Airport	1.5
Tobacco Settlement	1.0
Prerefunded	.8
Pollution	.0
	97.8

^†Based on net assets.

See notes to financial statements.



Summary of Abbreviations (Unaudited)

ABAG	Association of Bay Area Governments	AGC	ACE Guaranty Corporation
AGIC	Asset Guaranty Insurance Company	AMBAC	American Municipal Bond Assurance Corporation
BAN	Bond Anticipation Notes	CIFG	CDC Ixis Financial Guaranty
COP	Certificate of Participation	CP	Commercial Paper
DRIVERS	Derivative Inverse Tax-Exempt Receipts	FGIC	Financial Guaranty Insurance Company
FHA	Federal Housing Administration	FHLB	Federal Home Loan Bank
FHLMC	Federal Home Loan Mortgage Corporation	FNMA	Federal National Mortgage Association
GAN	Grant Anticipation Notes	GIC	Guaranteed Investment Contract
GNMA	Government National Mortgage Association	GO	General Obligation
IDC	Industrial Development Corporation	LIBOR	London Interbank Offered Rate
LOC	Letter of Credit	LR	Lease Revenue
NAN	Note Anticipation Notes	MFHR	Multi-Family Housing Revenue
MFMR	Multi-Family Mortgage Revenue	MUNIPSA	Securities Industry and Financial Markets Association Municipal Swap Index Yield
OBFR	Overnight Bank Funding Rate	PILOT	Payment in Lieu of Taxes
PRIME	Prime Lending Rate	PUTTERS	Puttable Tax-Exempt Receipts
RAC	Revenue Anticipation Certificates	RAN	Revenue Anticipation Notes
RIB	Residual Interest Bonds	SFHR	Single Family Housing Revenue
SFMR	Single Family Mortgage Revenue	SOFR	Secured Overnight Financing Rate
TAN	Tax Anticipation Notes	TRAN	Tax and Revenue Anticipation Notes
U.S. T-Bill	U.S. Treasury Bill Money Market Yield	XLCA	XL Capital Assurance

See notes to financial statements.

STATEMENT OF ASSETS AND LIABILITIES

April 30, 2021



	Cost	Value
Assets ($):
Investments in securities—See Statement of Investments	181,440,189	192,918,806
Cash		3,251,387
Interest receivable		2,462,751
Receivable for shares of Beneficial Interest subscribed		116,868
Prepaid expenses		38,049
		198,787,861
Liabilities ($):
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(c)		125,737
Payable for investment securities purchased		1,217,250
Payable for shares of Beneficial Interest redeemed		136,562
Trustees’ fees and expenses payable		1,041
Other accrued expenses		70,775
		1,551,365
Net Assets ($)		197,236,496
Composition of Net Assets ($):
Paid-in capital		186,248,401
Total distributable earnings (loss)		10,988,095
Net Assets ($)		197,236,496


Net Asset Value Per Share	Class A	Class C	Class I	Class Y	Class Z
Net Assets ($)	108,582,418	1,715,384	17,534,009	10,519	69,394,166
Shares Outstanding	8,997,229	142,336	1,452,788	871.84	5,751,098
Net Asset Value Per Share ($)	12.07	12.05	12.07	12.07	12.07

See notes to financial statements.

STATEMENT OF OPERATIONS

Year Ended April 30, 2021




Investment Income ($):
Interest Income					6,166,258
Expenses:
Management fee—Note 3(a)					1,095,427
Shareholder servicing costs—Note 3(c)					388,932
Professional fees					112,569
Registration fees					60,544
Distribution fees—Note 3(b)					16,504
Chief Compliance Officer fees—Note 3(c)					15,021
Trustees’ fees and expenses—Note 3(d)					14,839
Prospectus and shareholders’ reports					14,568
Loan commitment fees—Note 2					7,157
Custodian fees—Note 3(c)					4,157
Miscellaneous					24,645
Total Expenses					1,754,363
Less—reduction in expenses due to undertaking—Note 3(a)					(199,168)
Less—reduction in fees due to earnings credits—Note 3(c)					(4,157)
Net Expenses					1,551,038
Investment Income—Net					4,615,220
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($):
Net realized gain (loss) on investments					773,285
Net change in unrealized appreciation (depreciation) on investments					10,053,107
Net Realized and Unrealized Gain (Loss) on Investments					10,826,392
Net Increase in Net Assets Resulting from Operations					15,441,612

See notes to financial statements.

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended April 30,
	2021	2020
Operations ($):
Investment income—net	4,615,220	5,047,696
Net realized gain (loss) on investments	773,285	819,710
Net change in unrealized appreciation (depreciation) on investments	10,053,107	(4,116,469)
Net Increase (Decrease) in Net Assets Resulting from Operations	15,441,612	1,750,937
Distributions ($):
Distributions to shareholders:
Class A	(2,475,577)	(2,756,646)
Class C	(31,221)	(52,791)
Class I	(379,429)	(333,260)
Class Y	(251)	(10,113)
Class Z	(1,737,040)	(1,873,307)
Total Distributions	(4,623,518)	(5,026,117)
Beneficial Interest Transactions ($):
Net proceeds from shares sold:
Class A	2,746,393	3,333,309
Class C	53,837	434,976
Class I	5,618,812	7,433,579
Class Y	10,000	-
Class Z	1,309,737	1,384,129
Distributions reinvested:
Class A	2,007,759	2,195,474
Class C	27,595	40,309
Class I	374,940	325,794
Class Z	1,308,453	1,402,137
Cost of shares redeemed:
Class A	(12,746,831)	(11,254,858)
Class C	(1,296,989)	(1,369,612)
Class I	(2,781,970)	(3,795,427)
Class Y	(370,210)	(5,000)
Class Z	(5,483,129)	(5,957,428)
Increase (Decrease) in Net Assets from Beneficial Interest Transactions	(9,221,603)	(5,832,618)
Total Increase (Decrease) in Net Assets	1,596,491	(9,107,798)
Net Assets ($):
Beginning of Period	195,640,005	204,747,803
End of Period	197,236,496	195,640,005


		Year Ended April 30,
		2021	2020
Capital Share Transactions (Shares):
Class A^a,b
Shares sold		228,549	279,682
Shares issued for distributions reinvested		167,746	185,254
Shares redeemed		(1,068,249)	(952,439)
Net Increase (Decrease) in Shares Outstanding		(671,954)	(487,503)
Class C^a
Shares sold		4,550	36,686
Shares issued for distributions reinvested		2,310	3,407
Shares redeemed		(108,465)	(115,940)
Net Increase (Decrease) in Shares Outstanding		(101,605)	(75,847)
Class I^b
Shares sold		469,476	630,113
Shares issued for distributions reinvested		31,310	27,493
Shares redeemed		(233,055)	(321,547)
Net Increase (Decrease) in Shares Outstanding		267,731	336,059
Class Y
Shares sold		872	-
Shares redeemed		(32,276)	(426)
Net Increase (Decrease) in Shares Outstanding		(31,404)	(426)
Class Z
Shares sold		109,346	116,131
Shares issued for distributions reinvested		109,340	118,328
Shares redeemed		(458,044)	(501,637)
Net Increase (Decrease) in Shares Outstanding		(239,358)	(267,178)

^a	During the period ended April 30, 2021, 6,458 Class C shares representing $78,222 were automatically converted to 6,454 Class A shares.
^b	During the period ended April 30, 2021, 32,875 Class A shares representing $390,264 were exchanged for 32,908 Class I shares.
See notes to financial statements.

FINANCIAL HIGHLIGHTS

The following tables describe the performance for each share class for the fiscal periods indicated. All information (except portfolio turnover rate) reflects financial results for a single fund share. Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. These figures have been derived from the fund’s financial statements.



	Year Ended April 30,
Class A Shares	2021	2020	2019	2018	2017
Per Share Data ($):
Net asset value, beginning of period	11.43	11.62	11.35	11.68	12.10
Investment Operations:
Investment income—net^a	.27	.28	.29	.30	.32
Net realized and unrealized gain (loss) on investments	.64	(.19)	.27	(.32)	(.42)
Total from Investment Operations	.91	.09	.56	(.02)	(.10)
Distributions:
Dividends from investment income—net	(.27)	(.28)	(.29)	(.31)	(.32)
Net asset value, end of period	12.07	11.43	11.62	11.35	11.68
Total Return (%)^b	7.97	.71	4.98	(.24)	(.87)
Ratios/Supplemental Data (%):
Ratio of total expenses to average net assets	.97	.95	.95	.94	.93
Ratio of net expenses to average net assets	.87	.89	.95	.94	.93
Ratio of net investment income to average net assets	2.22	2.37	2.53	2.61	2.66
Portfolio Turnover Rate	6.37	19.22	4.84	10.71	9.93
Net Assets, end of period ($ x 1,000)	108,582	110,498	118,062	127,921	145,523

^aBased on average shares outstanding.

^bExclusive of sales charge.

See notes to financial statements.



	Year Ended April 30,
Class C Shares	2021	2020	2019	2018	2017
Per Share Data ($):
Net asset value, beginning of period	11.41	11.61	11.33	11.66	12.08
Investment Operations:
Investment income—net^a	.17	.19	.20	.21	.23
Net realized and unrealized gain (loss) on investments	.64	(.20)	.28	(.33)	(.43)
Total from Investment Operations	.81	(.01)	.48	(.12)	(.20)
Distributions:
Dividends from investment income—net	(.17)	(.19)	(.20)	(.21)	(.22)
Net asset value, end of period	12.05	11.41	11.61	11.33	11.66
Total Return (%)^b	7.10	(.17)	4.23	(1.02)	(1.63)
Ratios/Supplemental Data (%):
Ratio of total expenses to average net assets	1.78	1.76	1.75	1.71	1.69
Ratio of net expenses to average net assets	1.68	1.69	1.75	1.70	1.69
Ratio of net investment income to average net assets	1.42	1.58	1.72	1.82	1.89
Portfolio Turnover Rate	6.37	19.22	4.84	10.71	9.93
Net Assets, end of period ($ x 1,000)	1,715	2,784	3,712	4,507	10,653

^aBased on average shares outstanding.

^bExclusive of sales charge.

See notes to financial statements.

FINANCIAL HIGHLIGHTS (continued)



	Year Ended April 30,
Class I Shares	2021	2020	2019	2018	2017
Per Share Data ($):
Net asset value, beginning of period	11.43	11.62	11.35	11.68	12.10
Investment Operations:
Investment income—net^a	.29	.31	.31	.33	.34
Net realized and unrealized gain (loss) on investments	.65	(.19)	.27	(.33)	(.42)
Total from Investment Operations	.94	.12	.58	.00^b	(.08)
Distributions:
Dividends from investment income—net	(.30)	(.31)	(.31)	(.33)	(.34)
Net asset value, end of period	12.07	11.43	11.62	11.35	11.68
Total Return (%)	8.24	.97	5.22	.00^c	(.64)
Ratios/Supplemental Data (%):
Ratio of total expenses to average net assets	.72	.71	.72	.70	.69
Ratio of net expenses to average net assets	.62	.64	.72	.70	.69
Ratio of net investment income to average net assets	2.46	2.62	2.76	2.84	2.90
Portfolio Turnover Rate	6.37	19.22	4.84	10.71	9.93
Net Assets, end of period ($ x 1,000)	17,534	13,544	9,869	9,629	12,555

^a Based on average shares outstanding.

^b Amount represents less than $.01 per share.

^c Amount represents less than .01% per share.

See notes to financial statements.



	Year Ended April 30,
Class Y Shares	2021	2020	2019	2018	2017
Per Share Data ($):
Net asset value, beginning of period	11.42	11.62	11.35	11.68	12.10
Investment Operations:
Investment income—net^a	.30	.31	.32	.34	.34
Net realized and unrealized gain (loss) on investments	.61	(.20)	.27	(.33)	(.41)
Total from Investment Operations	.91	.11	.59	.01	(.07)
Distributions:
Dividends from investment income—net	(.26)	(.31)	(.32)	(.34)	(.35)
Net asset value, end of period	12.07	11.42	11.62	11.35	11.68
Total Return (%)	7.99	.91	5.26	.03	(.60)
Ratios/Supplemental Data (%):
Ratio of total expenses to average net assets	.98	.68	.68	.66	.65
Ratio of net expenses to average net assets	.88	.61	.68	.66	.65
Ratio of net investment income to average net assets	2.21	2.65	2.79	2.87	2.93
Portfolio Turnover Rate	6.37	19.22	4.84	10.71	9.93
Net Assets, end of period ($ x 1,000)	11	369	380	437	813

^a Based on average shares outstanding.

See notes to financial statements.

FINANCIAL HIGHLIGHTS (continued)



	Year Ended April 30,
Class Z Shares	2021	2020	2019	2018	2017
Per Share Data ($):
Net asset value, beginning of period	11.43	11.62	11.35	11.68	12.10
Investment Operations:
Investment income—net^a	.29	.31	.31	.33	.34
Net realized and unrealized gain (loss) on investments	.65	(.19)	.27	(.33)	(.42)
Total from Investment Operations	.94	.12	.58	.00^b	(.08)
Distributions:
Dividends from investment income—net	(.30)	(.31)	(.31)	(.33)	(.34)
Net asset value, end of period	12.07	11.43	11.62	11.35	11.68
Total Return (%)	8.24	.94	5.21	.07	(.74)
Ratios/Supplemental Data (%):
Ratio of total expenses to average net assets	.75	.73	.75	.70	.71
Ratio of net expenses to average net assets	.65	.67	.75	.70	.71
Ratio of net investment income to average net assets	2.47	2.59	2.74	2.83	2.88
Portfolio Turnover Rate	6.37	19.22	4.84	10.71	9.93
Net Assets, end of period ($ x 1,000)	69,394	68,446	72,725	78,274	86,696

^aBased on average shares outstanding.

^b Amount represents less than $.01 per share.

See notes to financial statements.

NOTES TO FINANCIAL STATEMENTS

NOTE 1—Significant Accounting Policies:

BNY Mellon Connecticut Fund (the “fund”) is a separate non-diversified series of BNY Mellon State Municipal Bond Funds (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective is to seek to maximize current income exempt from federal income tax and from Connecticut state income tax, without undue risk. BNY Mellon Investment Adviser, Inc. (the “Adviser”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser.

On February 10, 2021, BNY Mellon Investment Management announced its intention to realign several of its investment firms. As a result of this realignment, which is scheduled to occur, subject to regulatory requirements, in the third quarter of 2021 (the “Effective Date”), portfolio managers responsible for managing the fund’s investments who are employees of Mellon Investments Corporation (“Mellon”) in a dual employment arrangement with the Adviser, will become employees of Insight North America LLC (“INA”), which, like Mellon, is an affiliate of the Adviser, and will no longer be employees of Mellon. Consequently, effective as of the Effective Date and subject to the approval of the Trust’s Board of Trustees (the “Board”), the Adviser will engage INA to serve as the fund’s sub-adviser, pursuant to a sub-investment advisory agreement between the Adviser and INA. As the fund’s sub-adviser, INA will provide the day-to-day management of the fund’s investments, subject to the Adviser’s supervision and approval. It is currently anticipated that the fund’s portfolio managers who are responsible for the day-to-day management of the fund’s investments will continue to manage the fund’s investments as of the Effective Date. It is also currently anticipated that there will be no material changes to the fund’s investment objective, strategies or policies, no reduction in the nature or level of services provided to the fund, and no increase in the management fee payable by the fund as a result of the engagement of INA as the fund’s sub-adviser. The Adviser (and not the fund) will pay INA for its sub-advisory services.

BNY Mellon Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Adviser, is the distributor of the fund’s shares. The fund is authorized to issue an unlimited number of $.001 par value shares of Beneficial Interest in each of the following classes of shares: Class A, Class C, Class I, Class Y and Class Z. Class A shares generally are subject to a sales charge imposed at the time of purchase. Class A shares bought without an initial sales charge as part of an investment of $1 million or

NOTES TO FINANCIAL STATEMENTS (continued)

more may be charged a contingent deferred sales charge (“CDSC”) of 1.00% if redeemed within one year. Class C shares are subject to a CDSC imposed on Class C shares redeemed within one year of purchase. Class C shares automatically convert to Class A shares eight years after the date of purchase, without the imposition of a sales charge. Class I and Class Y shares are sold at net asset value per share generally to institutional investors. Class Z shares are sold at net asset value per share to certain shareholders of the fund. Class Z shares generally are not available for new accounts. Other differences between the classes include the services offered to and the expenses borne by each class, the allocation of certain transfer agency costs, and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.

As of April 30, 2021, MBC Investments Corp., an indirect subsidiary of BNY Mellon, held 871.84 Class Y shares of the fund.

The Trust accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.

The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.

The Trust enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.

This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).

Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.

Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:

Level 1—unadjusted quoted prices in active markets for identical investments.

Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).

Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:

Investments in securities are valued each business day by an independent pricing service (the “Service”) approved by the Board. Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of the Service are valued at the mean between the quoted bid prices (as obtained by the Service from dealers in such securities) and asked prices (as calculated by the Service based upon its evaluation of the market for such securities). Debt investments (which constitute a majority of the portfolio securities) are carried at fair value as determined by the Service, based on methods which include consideration of the following: yields or prices of municipal securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. All of the preceding securities are generally categorized within Level 2 of the fair value hierarchy.

The Service is engaged under the general oversight of the Board.

NOTES TO FINANCIAL STATEMENTS (continued)

When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.

For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.

The following is a summary of the inputs used as of April 30, 2021 in valuing the fund’s investments:


	Level 1-Unadjusted Quoted Prices	Level 2- Other Significant Observable Inputs	Level 3-Significant Unobservable Inputs	Total
Assets ($)
Investments In Securities:^†
Municipal Securities	-	192,918,806	-	192,918,806

^† See Statement of Investments for additional detailed categorizations, if any.

(b) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Interest income, adjusted for accretion of discount and amortization of premium on investments, is earned from settlement date and recognized on the accrual basis. Securities purchased or sold on a when issued or delayed delivery basis may be settled a month or more after the trade date.

The fund follows an investment policy of investing primarily in municipal obligations of one state. Economic changes affecting the state and certain of its public bodies and municipalities may affect the ability of issuers within the state to pay interest on, or repay principal of, municipal obligations held by the fund.

(c) Risk: Certain events particular to the industries in which the fund’s investments conduct their operations, as well as general economic, political

and public health conditions, may have a significant negative impact on the investee’s operations and profitability. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the fund. Global economies and financial markets are becoming increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies world-wide. Recent examples include pandemic risks related to COVID-19 and aggressive measures taken world-wide in response by governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of large populations, and by businesses, including changes to operations and reducing staff. To the extent the fund may overweight its investments in certain countries, companies, industries or market sectors, such positions will increase the fund’s exposure to risk of loss from adverse developments affecting those countries, companies, industries or sectors.

(d) Dividends and distributions to shareholders: It is the policy of the fund to declare dividends daily from investment income-net. Such dividends are paid monthly. Dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

(e) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, which can distribute tax-exempt dividends, by complying with the applicable provisions of the Code, and to make distributions of income and net realized capital gain sufficient to relieve it from substantially all federal income and excise taxes.

As of and during the period ended April 30, 2021, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended April 30, 2021, the fund did not incur any interest or penalties.

NOTES TO FINANCIAL STATEMENTS (continued)

Each tax year in the four-year period ended April 30, 2021 remains subject to examination by the Internal Revenue Service and state taxing authorities.

At April 30, 2021, the components of accumulated earnings on a tax basis were as follows: undistributed tax-exempt income $414,087, accumulated capital losses $904,600 and unrealized appreciation $11,478,608.

The fund is permitted to carry forward capital losses for an unlimited period. Furthermore, capital loss carryovers retain their character as either short-term or long-term capital losses.

The accumulated capital loss carryover is available for federal income tax purposes to be applied against future net realized capital gains, if any, realized subsequent to April 30, 2021. The fund has $904,600 of short-term capital losses which can be carried forward for an unlimited period.

The tax character of distributions paid to shareholders during the fiscal periods ended April 30, 2021 and April 30, 2020 were as follows: tax-exempt income $4,623,518 and $5,003,528, and ordinary income $0 and $22,589, respectively.

During the period ended April 30, 2021, as a result of permanent book to tax differences, primarily due to the tax treatment for amortization adjustments, the fund increased total distributable earnings (loss) by $414,087 and decreased paid-in capital by the same amount. Net assets and net asset value per share were not affected by this reclassification.

(f) New accounting pronouncements: In March 2020, the FASB issued Accounting Standards Update 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”), and in January 2021, the FASB issued Accounting Standards Update 2021-01, Reference Rate Reform (Topic 848): Scope (“ASU 2021-01”), which provides optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank offered rates as of the end of 2021. The temporary relief provided by ASU 2020-04 and ASU 2021-01 is effective for certain reference rate-related contract modifications that occur during the period from March 12, 2020 through December 31, 2022. Management is evaluating the impact of ASU 2020-04 and ASU 2021-01 on the fund’s investments, derivatives, debt and other contracts that will undergo reference rate-related modifications as a result of the reference rate reform. Management is also currently actively working with other financial institutions and counterparties to modify contracts as required by applicable regulation and within the regulatory deadlines.

NOTE 2—Bank Lines of Credit:

The fund participates with other long-term open-end funds managed by the Adviser in a $823.5 million unsecured credit facility led by Citibank, N.A. (the “Citibank Credit Facility”) and a $300 million unsecured credit facility provided by The Bank of New York Mellon (the “BNYM Credit Facility”), a subsidiary of BNY Mellon and an affiliate of the Adviser, each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions (each, a “Facility”). The Citibank Credit Facility is available in two tranches: (i) Tranche A is in an amount equal to $688.5 million and is available to all long-term open-ended funds, including the fund, and (ii) Tranche B is an amount equal to $135 million and is available only to BNY Mellon Floating Rate Income Fund, a series of BNY Mellon Investment Funds IV, Inc. Prior to September 30, 2020, the Citibank Credit Facility was $927 million with Tranche A available in an amount equal to $747 million and Tranche B available in an amount equal to $180 million. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for Tranche A of the Citibank Credit Facility and the BNYM Credit Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended April 30, 2021, the fund did not borrow under the Facilities.

NOTE 3—Management Fee and Other Transactions with Affiliates:

(a) Pursuant to a management agreement with the Adviser, the management fee is computed at the annual rate of .55% of the value of the fund’s average daily net assets and is payable monthly. The Adviser has contractually agreed, from May 1, 2020 through September 1, 2021, to waive receipt of a portion of its management fee, in the amount of .10% of the value of the fund’s average daily net assets. On or after September 1, 2021, the Adviser may terminate this waiver agreement at any time. The reduction in expenses, pursuant to the undertaking, amounted to $199,168 during the period ended April 30, 2021.

During the period ended April 30, 2021, the Distributor retained $543 from commissions earned on sales of the fund’s Class A shares and $10 from CDSC fees on redemptions of the fund’s Class C shares.

(b) Under the Distribution Plan adopted pursuant to Rule 12b-1 under the Act, Class C shares pay the Distributor for distributing its shares at an annual rate of .75% of the value of its average daily net assets. During the period ended April 30, 2021, Class C shares were charged $16,504 pursuant to the Distribution Plan.

NOTES TO FINANCIAL STATEMENTS (continued)

(c) Under the Shareholder Services Plan, Class A and Class C shares pay the Distributor at an annual rate of .25% of the value of their average daily net assets for the provision of certain services. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2021, Class A and Class C shares were charged $278,171 and $5,501, respectively, pursuant to the Shareholder Services Plan.

Under the Shareholder Services Plan, Class Z shares reimburse the Distributor at an amount not to exceed an annual rate of .25% of the value of Class Z shares’ average daily net assets for the provision of certain services. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding Class Z shares and providing reports and other information, and services related to the maintenance of shareholder accounts. During the period ended April 30, 2021, Class Z shares were charged $30,114 pursuant to the Shareholder Services Plan.

The fund has arrangements with the transfer agent and the custodian whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset transfer agency and custody fees. For financial reporting purposes, the fund includes transfer agent net earnings credits, if any, as shareholder servicing costs and includes custody net earnings credits, if any, as an expense offset in the in the Statement of Operations.

The fund compensates BNY Mellon Transfer, Inc., a wholly-owned subsidiary of the Adviser, under a transfer agency agreement for providing transfer agency and cash management services inclusive of earnings credits, if any, for the fund. The majority of transfer agency fees are comprised of amounts paid on a per account basis, while cash management fees are related to fund subscriptions and redemptions. During the period ended April 30, 2021, the fund was charged $37,564 for transfer agency services, inclusive of earnings credit, if any. These fees are included in Shareholder servicing costs in the Statement of Operations.

The fund compensates The Bank of New York Mellon under a custody agreement for providing custodial services for the fund. These fees are determined based on net assets, geographic region and transaction activity. During the period ended April 30, 2021, the fund was charged $4,157

pursuant to the custody agreement. These fees were offset by earnings credits of $4,157.

The fund compensates The Bank of New York Mellon under a shareholder redemption draft processing agreement for providing certain services related to the fund’s check writing privilege. During the period ended April 30, 2021, the fund was charged $1,769 pursuant to the agreement, which is included in Shareholder servicing costs in the Statement of Operations.

During the period ended April 30, 2021, the fund was charged $15,021 for services performed by the Chief Compliance Officer and his staff. These fees are included in Chief Compliance Officer fees in the Statement of Operations.

The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates” in the Statement of Assets and Liabilities consist of: management fees of $88,979, Distribution Plan fees of $1,071, Shareholder Services Plan fees of $38,818, custodian fees of $1,370, Chief Compliance Officer fees of $5,242 and transfer agency fees of $6,436, which are offset against an expense reimbursement currently in effect in the amount of $16,179.

(d) Each Board member also serves as a Board member of other funds in the BNY Mellon Family of Funds complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.

NOTE 4��Securities Transactions:

The aggregate amount of purchases and sales of investment securities, excluding short-term securities, during the period ended April 30, 2021, amounted to $12,488,920 and $21,319,387, respectively.

At April 30, 2021, the cost of investments for federal income tax purposes was $181,440,198; accordingly, accumulated net unrealized appreciation on investments was $11,478,608, consisting of $11,694,006 gross unrealized appreciation and $215,398 gross unrealized depreciation.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of BNY Mellon Connecticut Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of BNY Mellon Connecticut Fund (the “Fund”) (one of the funds constituting BNY Mellon State Municipal Bond Funds), including the statement of investments, as of April 30, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting BNY Mellon State Municipal Bond Funds) at April 30, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of April 30, 2021, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more investment companies in the BNY Mellon Family of Funds since at least 1957, but we are unable to determine the specific year.

New York, New York
June 24, 2021

IMPORTANT TAX INFORMATION (Unaudited)

In accordance with federal tax law, the fund hereby reports all the dividends paid from investment income-net during its fiscal year ended April 30, 2021 as “exempt-interest dividends” (not subject to regular federal income tax, and for individuals who are Connecticut residents, Connecticut personal income taxes). Where required by federal tax law rules, shareholders will receive notification of their portion of the fund’s taxable ordinary dividends (if any), capital gains distributions (if any) and tax-exempt dividends paid for the 2021 calendar year on Form 1099-DIV which will be mailed in early 2022.

BOARD MEMBERS INFORMATION (Unaudited)

INDEPENDENT BOARD MEMBERS

Joseph S. DiMartino (77)

Chairman of the Board (1995)

Principal Occupation During Past 5 Years:

· Director or Trustee of funds in the BNY Mellon Family of Funds and certain other entities (as described in the fund’s Statement of Additional Information) (1995-Present)

Other Public Company Board Memberships During Past 5 Years:

· CBIZ, Inc., a public company providing professional business services, products and solutions, Director (1997-Present)

No. of Portfolios for which Board Member Serves: 106

———————

Francine J. Bovich (69)

Board Member (2012)

Principal Occupation During Past 5 Years:

· Trustee, The Bradley Trusts, private trust funds (2011-Present)

Other Public Company Board Memberships During Past 5 Years:

· Annaly Capital Management, Inc., a real estate investment trust, Director (2014-Present)

No. of Portfolios for which Board Member Serves: 63

———————

Peggy C. Davis (78)

Board Member (1990)

Principal Occupation During Past 5 Years:

· Shad Professor of Law, New York University School of Law (1983-present)

No. of Portfolios for which Board Member Serves: 38

———————

Nathan Leventhal (78)

Board Member (1989)

Principal Occupation During Past 5 Years:

· President Emeritus of Lincoln Center for the Performing Arts (2001-Present)

· President of the Palm Beach Opera (2016-Present)

Other Public Company Board Memberships During Past 5 Years:

· Movado Group, Inc., a public company that designs, markets and distributes watches, Director (2003-2020)

No. of Portfolios for which Board Member Serves: 42

———————

Robin A. Melvin (57)

Board Member (2012)

Principal Occupation During Past 5 Years:

· Trustee, Westover School, a private girls’ boarding school in Middlebury, Connecticut (2019-Present)

· Co-chairman, Mentor Illinois, a non-profit organization dedicated to increasing the quality of mentoring services in Illinois (2014–2020); Board member, Mentor Illinois (2013-2020)

No. of Portfolios for which Board Member Serves: 85

———————

Once elected, all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o BNY Mellon Investment Adviser, Inc. 240 Greenwich Street, New York, New York 10286. Additional information about the Board Member is available in the fund’s Statement of Additional Information which can be obtained from the Adviser free of charge by calling this toll free number: 1-800-373-9387.

Clifford L. Alexander, Jr., Emeritus Board Member
Diane Dunst, Emeritus Board Member
Ernest Kafka, Emeritus Board Member

OFFICERS OF THE FUND (Unaudited)

DAVID DIPETRILLO, President since January 2021.

Vice President and Director of the Adviser since February 2021, Head of North America Product, BNY Mellon Investment Management since January 2018, Director of Product Strategy, BNY Mellon Investment Management from January 2016 to December 2017; He is an officer of 61 investment companies (comprised of 114 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 43 years old and has been an employee of BNY Mellon since 2005.

JAMES WINDELS, Treasurer since November 2001.

Vice President of the Adviser since September 2020, Director-BNY Mellon Fund Administration, and an officer of 62 investment companies (comprised of 137 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 62 years old and has been an employee of the Adviser since April 1985.

BENNETT A. MACDOUGALL, Chief Legal Officer since October 2015.

Chief Legal Officer of the Adviser and Associate General Counsel and Managing Director of BNY Mellon. He is an officer of 62 investment companies (comprised of 137 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 49 years old and has been an employee of the Adviser since June 2015.

JAMES BITETTO, Vice President since August 2005 and Secretary since February 2018.

Senior Managing Counsel of BNY Mellon since December 2019; Managing Counsel of BNY Mellon from April 2014 to December 2019; Secretary of the Adviser, and an officer of 62 investment companies (comprised of 137 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 54 years old and has been an employee of the Adviser since December 1996.

DEIRDRE CUNNANE, Vice President and Assistant Secretary since March 2019.

Counsel of BNY Mellon since August 2018; Senior Regulatory Specialist at BNY Mellon Investment Management Services from February 2016 to August 2018. She is an officer of 62 investment companies (comprised of 137 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 30 years old and has been an employee of the Adviser since August 2018.

SARAH S. KELLEHER, Vice President and Assistant Secretary since April 2014.

Managing Counsel of BNY Mellon since December 2017, Senior Counsel of BNY Mellon from March 2013 to December 2017. She is an officer of 62 investment companies (comprised of 137 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 45 years old and has been an employee of the Adviser since March 2013.

JEFF PRUSNOFSKY, Vice President and Assistant Secretary since August 2005.

Senior Managing Counsel of BNY Mellon, and an officer of 62 investment companies (comprised of 137 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 55 years old and has been an employee of the Adviser since October 1990.

AMANDA QUINN, Vice President and Assistant Secretary since March 2020.

Counsel of BNY Mellon since June 2019; Regulatory Administration Manager at BNY Mellon Investment Management Services from September 2018 to May 2019; Senior Regulatory Specialist at BNY Mellon Investment Management Services from April 2015 to August 2018. She is an officer of 62 investment companies (comprised of 137 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 36 years old and has been an employee of the Adviser since June 2019.

PETER M. SULLIVAN, Vice President and Assistant Secretary since March 2019.

Senior Managing Counsel of BNY Mellon since December 2020; Managing Counsel of BNY Mellon from March 2009 to December 2020, and an officer of 62 investment companies (comprised of 137 portfolios) managed by the the Adviser or an affiliate of the the Adviser. He is 53 years old and has been an employee of BNY Mellon since April 2004.

NATALYA ZELENSKY, Vice President and Assistant Secretary since March 2017.

Managing Counsel of BNY Mellon since December 2019; Counsel of BNY Mellon from May 2016 to December 2019; Assistant Secretary of the Adviser since 2018; Attorney at Wildermuth Endowment Strategy Fund/Wildermuth Advisory, LLC from November 2015 to May 2016. She is an officer of 62 investment companies (comprised of 137 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 35 years old and has been an employee of the Adviser since May 2016.

GAVIN C. REILLY, Assistant Treasurer since December 2005.

Tax Manager-BNY Mellon Fund Administration, and an officer of 62 investment companies (comprised of 137 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 52 years old and has been an employee of the Adviser since April 1991.

ROBERT SALVIOLO, Assistant Treasurer since July 2007.

Senior Accounting Manager–BNY Mellon Fund Administration, and an officer of 62 investment companies (comprised of 137 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 53 years old and has been an employee of the Adviser since June 1989.

ROBERT SVAGNA, Assistant Treasurer since August 2005.

Senior Accounting Manager–BNY Mellon Fund Administration, and an officer of 62 investment companies (comprised of 137 portfolios) managed by the Adviser or an affiliate of the Adviser. He is 54 years old and has been an employee of the Adviser since November 1990.

JOSEPH W. CONNOLLY, Chief Compliance Officer since October 2004.

Chief Compliance Officer of the Adviser, the BNY Mellon Family of Funds and BNY Mellon Funds Trust (61 investment companies, comprised of 129 portfolios). He is 63 years old and has served in various capacities with the Adviser since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.

CARIDAD M. CAROSELLA, Anti-Money Laundering Compliance Officer since January 2016.

Anti-Money Laundering Compliance Officer of the BNY Mellon Family of Funds and BNY Mellon Funds Trust. She is an officer of 55 investment companies (comprised of 130 portfolios) managed by the Adviser or an affiliate of the Adviser. She is 52 years old and has been an employee of the Distributor since 1997.

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For More Information

BNY Mellon State Municipal Bond Funds, BNY Mellon Connecticut Fund

240 Greenwich Street

New York, NY 10286

Adviser

BNY Mellon Investment Adviser, Inc.

240 Greenwich Street

New York, NY 10286

Custodian

The Bank of New York Mellon

240 Greenwich Street

New York, NY 10286

Transfer Agent &
Dividend Disbursing Agent

BNY Mellon Transfer, Inc.

240 Greenwich Street

New York, NY 10286

Distributor

BNY Mellon Securities Corporation

240 Greenwich Street

New York, NY 10286


Ticker Symbols:	Class A: PSCTX      Class C: PMCCX      Class I: DTCIX      Class Y: DPMYX      Class Z: DPMZX

Telephone Call your financial representative or 1-800-373-9387

Mail The BNY Mellon Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144

E-mail Send your request to info@bnymellon.com

Internet Information can be viewed online or downloaded at www.im.bnymellon.com

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-PORT. The fund’s Forms N-PORT are available on the SEC’s website at www.sec.gov.

A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at www.im.bnymellon.com and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-373-9387.


© 2021 BNY Mellon Securities Corporation 0064AR0421

BNY Mellon State Municipal Bond Funds, BNY Mellon Massachusetts Fund

ANNUAL REPORT

April 30, 2021

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Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value

Contents

THE FUND

FOR MORE INFORMATION

Back Cover

DISCUSSION OF FUND PERFORMANCE (Unaudited)

For the period from May 1, 2020 through April 30, 2021, as provided by Daniel Rabasco and Thomas Casey, Portfolio Managers

Market and Fund Performance Overview

For the 12-month period ended April 30, 2021, Class A shares of BNY Mellon Massachusetts Fund, a series of BNY Mellon State Municipal Bond Funds, produced a total return of 8.25%, Class C shares returned 5.08% and Class Z shares returned 8.54%.¹ In comparison, the Bloomberg Barclays U.S. Municipal Bond Index (the “Index”), the fund’s benchmark index, which is comprised of bonds issued nationally and not solely within Massachusetts, achieved a total return of 7.75% for the same period.²

Municipal bonds posted strong returns during the reporting period as the market recovered from the COVID-19 pandemic. The fund’s Class A shares and Z shares outperformed the Index, due to the fund’s slightly longer duration versus the Index, yield-curve positioning, sector allocations and security selections.

The Fund’s Investment Approach

The fund seeks to maximize current income exempt from federal income tax and from Massachusetts state income tax, without undue risk. To pursue its goal, the fund normally invests at least 80% of its net assets, plus any borrowings for investment purposes, in municipal bonds that provide income exempt from federal and Massachusetts state income taxes. The fund invests at least 70% of its assets in municipal bonds rated, at the time of purchase, investment grade (i.e., Baa/BBB or higher) or the unrated equivalent as determined by BNY Mellon Investment Adviser, Inc. For additional yield, the fund may invest up to 30% of its assets in municipal bonds rated below investment grade (“high yield” or “junk” bonds) or the unrated equivalent as determined by BNY Mellon Investment Adviser, Inc. The dollar-weighted average maturity of the fund’s portfolio normally exceeds 10 years, but the fund may invest without regard to maturity.

The portfolio managers focus on identifying undervalued sectors and securities and minimize the use of interest-rate forecasting. The portfolio managers select municipal bonds for the fund’s portfolio by using fundamental credit analysis to estimate the relative value and attractiveness of various sectors and securities and to exploit pricing inefficiencies in the municipal bond market. The portfolio managers actively trading among various sectors, such as pre-refunded, general obligation and revenue, based on their apparent relative values. The fund seeks to invest in several of these sectors.

Policy Support and Economic Recovery Aid Market

The municipal bond market continued to recover from unprecedented volatility that occurred earlier in 2020, when the COVID-19 virus spread, and government shutdowns caused the economy to slow dramatically. In response to the pandemic, the Federal Reserve made two emergency interest-rate cuts in March 2020 and launched a $500 billion Municipal Liquidity Facility (MLF) to purchase short-term municipal securities. This, combined with the $2 trillion Coronavirus Aid, Relief, and Economic Security (CARES) Act, dramatically changed investor sentiment, which helped the municipal bond market to bounce back relatively quickly.

While new issuance dried up during the height of the crisis in the first quarter of 2020, it rebounded along with bond prices, as issuers sought to take advantage of record-low funding costs. Much of the new issuance was in taxable bonds, as low yields have made taxable issuance attractive to issuers. New issuance also increased because state and local governments sought to avoid the uncertainty associated with the election. The flood of new issues produced a somewhat negative effect on performance, as it created a glut of supply. While lower-risk bonds outperformed during the height of the crisis, lower-quality bonds rebounded strongly once monetary and fiscal policy measures were put in place.

Approval of multiple COVID-19 vaccines and passage of a federal stimulus package later in the reporting period contributed further to demand. Although the stimulus package did not include direct relief for states and municipalities, the market took a favorable view of funding for hospitals and mass transit, among other segments, as well as for consumers and small businesses.

The results of the November 2020 election also provided support. A Democrat-controlled Congress made federal relief for state and local governments more likely. It also made income tax hikes more likely, adding to the appeal of tax-exempt municipal securities. The prospect of an increase in the corporate tax rate made municipal bonds more appealing to institutional buyers as well, and relatively high interest rates also attracted foreign investors.

Demand for municipal bonds has benefited from strong fundamentals due in part to a $350 billion relief package from the federal government. As a result, inflows to municipal bond mutual funds in 2021 have been the strongest on record.

Despite the pandemic, Massachusetts has maintained a fairly solid fiscal condition. Given the dependence of the state economy on education and health care, many expected Massachusetts’s fiscal health to deteriorate, but tax revenues have exceeded expectations, and the “rainy day” fund has also helped fiscal conditions.

Duration, Yield Curve Positioning, Asset Allocation and Security Selection Bolstered Fund Results

A number of factors drove the fund’s relative performance. A slightly longer duration versus the Index contributed positively to returns, as did its yield-curve positioning. Bonds in the 15 to 20-year portion of the curve performed especially well. In addition, the fund’s overweight to revenue bonds was beneficial, with positions in the health care/hospital, education sectors

DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)

being especially advantageous. Security selections were also beneficial, and positions in the credits of Boston University and the UMass Memorial Health were particularly advantageous. In the senior living sector, the credits of Linden Pond and Newbridge on the Charles were beneficial.

On a less positive note, the fund’s relative performance was hindered by its exposure to the state’s general obligation bonds and credits in the transportation sector. The Massachusetts Bay Transportation Authority was a leading detractor as revenues were reduced due to the pandemic. The fund did not use derivatives during the reporting period.

A Positive Outlook

The outlook for the regional economy remains positive. With the pandemic easing and fiscal support coming from the federal government, economic activity and tax revenues should remain healthy. Democrat control of Congress could also be more supportive of the municipal market as the coming year could see an increase in environmental and infrastructure spending at the federal level, which could be a boon. Although a federal hike in tax rates for higher-income households is possible, this would likely benefit the municipal bond market. The cap on the deductibility of state and local taxes may also remain, which could also spur demand for municipal bonds.

May 17, 2021

¹Total return includes reinvestment of dividends and any capital gains paid and does not take into consideration the maximum initial sales charge in the case of Class A shares or the applicable contingent deferred sales charge imposed on redemptions in the case of Class C shares. Had these charges been reflected, returns would have been lower. Class Z shares is not subject to any initial or deferred sales charge. Past performance is no guarantee of future results. Share price, yield and investment return fluctuate such that upon redemption, fund shares may be worth more or less than their original cost. Income may be subject to state and local taxes, and some income may be subject to the federal alternative minimum tax (AMT) for certain investors. Capital gains, if any, are taxable.

²Source: Lipper Inc. — The Bloomberg Barclays U.S. Municipal Bond Index covers the U.S. dollar-denominated, long-term, tax-exempt bond market. Investors cannot invest directly in any index.

Municipal income may be subject to state and local taxes. Some income may be subject to the federal alternative minimum tax for certain investors. Capital gains, if any, are taxable. The amount of public information available about municipal securities is generally less than that for corporate equities or bonds. Legislative changes, state and local economic and business developments, may adversely affect the yield and/or value of municipal securities. Other factors include the general conditions of the municipal securities market, the size of the particular offering, maturity of the obligation, and the rating of the issue.

References to specific securities, asset classes and financial markets are for illustrative purposes only and are not intended to be and should not be interpreted as recommendations.

FUND PERFORMANCE (Unaudited)

Comparison of change in value of $10,000 investment in Class A shares, Class C shares and Class Z shares of BNY Mellon State Municipal Bond Funds, BNY Mellon Massachusetts Fund with a hypothetical investment of $10,000 in the Bloomberg Barclays U.S. Municipal Bond Index (the “Index”).

^† Source: Lipper Inc.

Past performance is not predictive of future performance.

The above graph compares a hypothetical $10,000 investment made in each of the Class A shares, Class C shares and Class Z shares of BNY Mellon State Municipal Bond Funds, BNY Mellon Massachusetts Fund on 4/30/11 to a hypothetical investment of $10,000 made in the Index on that date. All dividends and capital gain distributions are reinvested.

The fund’s performance shown in the line graph above takes into account the maximum initial sales charge on Class A shares and all other applicable fees and expenses on all classes. The Index is not limited to investments principally in Massachusetts municipal obligations. The Index, unlike the fund, covers the U.S. dollar-denominated long-term tax-exempt bond market. These factors can contribute to the Index potentially outperforming or underperforming the fund. Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report.

FUND PERFORMANCE (Unaudited) (continued)


Average Annual Total Returns as of 4/30/2021
	1 Year	5 Years	10 Years
Class A shares
with maximum sales charge (4.5%)	3.40%	1.54%	3.14%
without sales charge	8.25%	2.47%	3.61%
Class C shares
with applicable redemption charge^†	4.08%	1.12%	2.53%
without redemption	5.08%	1.12%	2.53%
Class Z shares	8.54%	2.72%	3.84%
Bloomberg Barclays U.S. Municipal Bond Index	7.75%	3.51%	4.44%

^† The maximum contingent deferred sales charge for Class C shares is 1% for shares redeemed within one year of the date of purchase.

The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. In addition to the performance of Class A shares shown with and without a maximum sales charge, the fund’s performance shown in the table takes into account all other applicable fees and expenses on all classes.

UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)

Review your fund’s expenses

The table below shows the expenses you would have paid on a $1,000 investment in BNY Mellon State Municipal Bond Funds, BNY Mellon Massachusetts Fund from November 1, 2020 to April 30, 2021. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.


Expenses and Value of a $1,000 Investment
Assume actual returns for the six months ended April 30, 2021

	Class A	Class C	Class Z
Expenses paid per $1,000^†	$5.22	$17.42	$4.02
Ending value (after expenses)	$1,025.50	$1,007.20	$1,026.80

COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)

Using the SEC’s method to compare expenses


Expenses and Value of a $1,000 Investment
Assuming a hypothetical 5% annualized return for the six months ended April 30, 2021

		Class A	Class C	Class Z
Expenses paid per $1,000^†		$5.21	$17.42	$4.01
Ending value (after expenses)		$1,019.64	$1,007.44	$1,020.83
^†	Expenses are equal to the fund’s annualized expense ratio of 1.04% for Class A, 3.50% for Class C and .80% for Class Z, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

STATEMENT OF INVESTMENTS

April 30, 2021



Description	Coupon Rate (%)		Maturity Date	Principal Amount ($)		Value ($)
Long-Term Municipal Investments - 98.8%
Massachusetts - 97.2%
Collegiate Charter School of Lowell, Revenue Bonds		5.00	6/15/2039	1,000,000		1,104,115
Martha's Vineyard Land Bank, Revenue Bonds, Refunding (Green Bond) (Insured; Build America Mutual)		5.00	5/1/2033	500,000		611,319
Massachusetts, GO, Refunding (Insured; American Municipal Bond Assurance Corp.) Ser. A		5.50	8/1/2030	1,750,000		2,409,602
Massachusetts, GO, Refunding, Ser. A, 3 Month LIBOR x.67 +.55%		0.69	11/1/2025	5,000,000	^a	5,034,789
Massachusetts, GO, Refunding, Ser. C		5.00	5/1/2030	2,500,000		3,348,151
Massachusetts, GO, Ser. A		5.00	4/1/2047	3,250,000		3,986,447
Massachusetts, GO, Ser. C		3.00	3/1/2047	1,350,000		1,443,452
Massachusetts Bay Transportation Authority, Revenue Bonds, Refunding (Insured; National Public Finance Guarantee Corp.) Ser. B		5.50	7/1/2027	2,000,000		2,587,584
Massachusetts Bay Transportation Authority, Revenue Bonds, Ser. A		5.00	7/1/2040	2,000,000		2,340,815
Massachusetts Clean Energy Cooperative Corp., Revenue Bonds		5.00	7/1/2024	2,580,000		2,836,613
Massachusetts College Building Authority, Revenue Bonds (Insured; National Public Finance Guarantee Corp.) Ser. A		0.00	5/1/2026	5,385,000	^b	5,174,608
Massachusetts College Building Authority, Revenue Bonds, Refunding (Insured; Assured Guaranty Corp.) Ser. B		5.50	5/1/2028	1,450,000		1,791,165
Massachusetts Development Finance Agency, Revenue Bonds (Baystate Medical Center Obligated Group) Ser. N		5.00	7/1/2034	1,475,000		1,659,489
Massachusetts Development Finance Agency, Revenue Bonds (Caregroup) Ser. J1		4.00	7/1/2046	500,000		585,634
Massachusetts Development Finance Agency, Revenue Bonds (Caregroup) Ser. J1		5.00	7/1/2043	1,295,000		1,571,930
Massachusetts Development Finance Agency, Revenue Bonds (Dana-Farber Cancer Institute Obligated Group) Ser. N		5.00	12/1/2041	1,000,000		1,186,299



Description	Coupon Rate (%)		Maturity Date	Principal Amount ($)		Value ($)
Long-Term Municipal Investments - 98.8% (continued)
Massachusetts - 97.2% (continued)
Massachusetts Development Finance Agency, Revenue Bonds (Dana-Farber Cancer Institute Obligated Group) Ser. N		5.00	12/1/2046	2,000,000		2,357,570
Massachusetts Development Finance Agency, Revenue Bonds (Linden Ponds Obligated Group)		5.13	11/15/2046	1,500,000	^c	1,647,076
Massachusetts Development Finance Agency, Revenue Bonds (North Hill Communities Obligated Group) Ser. A		6.50	11/15/2023	2,000,000	^c,d	2,317,884
Massachusetts Development Finance Agency, Revenue Bonds (Seven Hills Foundation & Affiliates Obligated Group) Ser. A		5.00	9/1/2045	1,500,000		1,653,419
Massachusetts Development Finance Agency, Revenue Bonds (The Children's Hospital Corp. Obligated Group) Ser. P		5.00	10/1/2033	4,000,000		4,542,062
Massachusetts Development Finance Agency, Revenue Bonds (Trustees of Boston University) Ser. BB1		4.00	10/1/2046	2,000,000		2,241,152
Massachusetts Development Finance Agency, Revenue Bonds (Worcester Polytechnic Institute)		5.00	9/1/2049	1,500,000		1,828,028
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Atrius Health Obligated Group) Ser. A		4.00	6/1/2049	1,500,000		1,690,865
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Beth Israel Lahey Clinic Obligated Group) Ser. F		5.00	8/15/2040	2,000,000		2,329,469
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Beth Israel Lahey Health Obligated Group)		5.00	7/1/2032	500,000		638,614
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Boston Medical Center Corp. Obligated Group) Ser. E		5.00	7/1/2037	1,000,000		1,165,688
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Brandeis University) Ser. S1		5.00	10/1/2035	1,000,000		1,261,477
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Caregroup) Ser. H1		5.00	7/1/2033	500,000		582,815

STATEMENT OF INVESTMENTS (continued)



Description	Coupon Rate (%)		Maturity Date	Principal Amount ($)		Value ($)
Long-Term Municipal Investments - 98.8% (continued)
Massachusetts - 97.2% (continued)
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Caregroup) Ser. I		5.00	7/1/2037	1,500,000		1,787,832
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (College of the Holy Cross Trustees) Ser. A		5.00	9/1/2041	800,000		959,349
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (NewBridge Charles Obligated Group)		5.00	10/1/2057	1,500,000	^c	1,638,216
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (NewBridge Charles Obligated Group)		5.00	10/1/2047	1,000,000	^c	1,093,639
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Northeastern University) Ser. A		5.00	10/1/2035	1,000,000		1,311,818
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Orchard Cove Obligated Group)		5.00	10/1/2049	700,000		784,772
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Partners Healthcare System)		5.00	7/1/2047	1,500,000		1,795,140
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (South Shore Hospital Obligated Group) Ser. I		5.00	7/1/2041	1,000,000		1,161,310
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Suffolk University Project)		5.00	7/1/2036	450,000		562,866
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Suffolk University)		5.00	7/1/2036	755,000		905,208
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Suffolk University)		5.00	7/1/2035	1,000,000		1,201,669
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Suffolk University) Ser. A		4.00	7/1/2045	1,250,000		1,445,531
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (The Broad Institute)		5.00	4/1/2037	1,000,000		1,230,420



Description	Coupon Rate (%)		Maturity Date	Principal Amount ($)	Value ($)
Long-Term Municipal Investments - 98.8% (continued)
Massachusetts - 97.2% (continued)
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Trustees of Boston College) Ser. T		5.00	7/1/2042	1,000,000	1,218,050
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Umass Memorial Health Care Obligated Group)		5.00	7/1/2031	1,000,000	1,214,689
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Umass Memorial Health Care Obligated Group) Ser. H		5.50	7/1/2031	25,000	25,198
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (Umass Memorial Health Care Obligated Group) Ser. I		5.00	7/1/2046	1,000,000	1,185,857
Massachusetts Development Finance Agency, Revenue Bonds, Refunding (WGBH Educational Foundation)		5.00	1/1/2040	1,000,000	1,204,598
Massachusetts Development Finance Agency, Revenue Bonds, Refunding, Ser. A		5.00	7/1/2044	1,000,000	1,209,431
Massachusetts Development Finance Agency, Revenue Bonds, Refunding, Ser. G		4.00	7/1/2046	1,000,000	1,164,395
Massachusetts Educational Financing Authority, Revenue Bonds		5.00	1/1/2025	1,500,000	1,730,176
Massachusetts Educational Financing Authority, Revenue Bonds, Refunding, Ser. K		5.25	7/1/2029	700,000	732,751
Massachusetts Housing Finance Agency, Revenue Bonds, Refunding (Insured; GNMA, FNMA & FHLMC) Ser. 220th		3.00	12/1/2050	2,000,000	2,189,404
Massachusetts Housing Finance Agency, Revenue Bonds, Refunding, Ser. 218th		3.00	12/1/2050	1,500,000	1,636,372
Massachusetts Port Authority, Revenue Bonds, Refunding, Ser. A		5.00	7/1/2035	2,055,000	2,484,135
Massachusetts Port Authority, Revenue Bonds, Refunding, Ser. A		5.00	7/1/2042	1,000,000	1,197,101
Massachusetts Port Authority, Revenue Bonds, Refunding, Ser. B		4.00	7/1/2046	2,500,000	2,805,613
Massachusetts Port Authority, Revenue Bonds, Refunding, Ser. B		5.00	7/1/2039	1,175,000	1,521,888

STATEMENT OF INVESTMENTS (continued)



Description	Coupon Rate (%)		Maturity Date	Principal Amount ($)		Value ($)
Long-Term Municipal Investments - 98.8% (continued)
Massachusetts - 97.2% (continued)
Massachusetts Port Authority, Revenue Bonds, Refunding, Ser. B		5.00	7/1/2022	1,500,000	^d	1,585,065
Massachusetts Port Authority, Revenue Bonds, Refunding, Ser. C		5.00	7/1/2044	2,000,000		2,471,112
Massachusetts Port Authority, Revenue Bonds, Ser. B		5.00	7/1/2045	1,000,000		1,148,749
Massachusetts Port Authority, Revenue Bonds, Ser. E		5.00	7/1/2040	1,000,000		1,290,171
Massachusetts School Building Authority, Revenue Bonds, Refunding, Ser. C		5.00	8/15/2037	3,000,000		3,549,820
Massachusetts School Building Authority, Revenue Bonds, Ser. A		5.00	8/15/2045	2,000,000		2,591,445
Massachusetts Transportation Fund, Revenue Bonds		5.00	6/1/2049	3,490,000		4,365,508
Massachusetts Transportation Fund, Revenue Bonds, Ser. A		5.00	6/1/2041	1,500,000		1,808,943
Massachusetts Transportation Trust Fund Metropolitan Highway System, Revenue Bonds, Refunding, Ser. A		5.00	1/1/2034	2,000,000		2,526,914
Metropolitan Boston Transit Parking Corp., Revenue Bonds, Refunding		5.00	7/1/2024	1,320,000		1,330,172
Springfield Water & Sewer Commission, Revenue Bonds, Ser. C		5.00	4/15/2037	650,000		793,487
University of Massachusetts Building Authority, Revenue Bonds, Ser. 1		5.00	11/1/2050	1,220,000		1,538,682
					124,325,627
U.S. Related - 1.6%
Children's Trust Fund, Revenue Bonds, Refunding, Ser. A		0.00	5/15/2050	5,000,000	^b	781,432



Description	Coupon Rate (%)		Maturity Date	Principal Amount ($)		Value ($)
Long-Term Municipal Investments - 98.8% (continued)
U.S. Related - 1.6% (continued)
Puerto Rico Highway & Transportation Authority, Revenue Bonds, Refunding (Insured; Assured Guaranty Municipal Corp.) Ser. CC		5.25	7/1/2033	1,000,000		1,215,305
					1,996,737
Total Investments (cost $117,378,587)				98.8%	126,322,364
Cash and Receivables (Net)				1.2%	1,565,262
Net Assets				100.0%	127,887,626

^a Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.

^b Security issued with a zero coupon. Income is recognized through the accretion of discount.

^c Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2021, these securities were valued at $6,696,815 or 5.24% of net assets.

^d These securities are prerefunded; the date shown represents the prerefunded date. Bonds which are prerefunded are collateralized by U.S. Government securities which are held in escrow and are used to pay principal and interest on the municipal issue and to retire the bonds in full at the earliest refunding date.


Portfolio Summary (Unaudited) ^†	Value (%)
Education	22.9
Medical	22.6
Transportation	14.9
General Obligation	12.7
General	5.3
Nursing Homes	4.0
Prerefunded	3.1
Single Family Housing	3.0
Airport	3.0
Power	2.2
Student Loan	1.9
Facilities	1.0
Development	1.0
Water	.6
Tobacco Settlement	.6
	98.8

^†Based on net assets.

See notes to financial statements.



Summary of Abbreviations (Unaudited)

ABAG	Association of Bay Area Governments	AGC	ACE Guaranty Corporation
AGIC	Asset Guaranty Insurance Company	AMBAC	American Municipal Bond Assurance Corporation
BAN	Bond Anticipation Notes	CIFG	CDC Ixis Financial Guaranty
COP	Certificate of Participation	CP	Commercial Paper
DRIVERS	Derivative Inverse Tax-Exempt Receipts	FGIC	Financial Guaranty Insurance Company
FHA	Federal Housing Administration	FHLB	Federal Home Loan Bank
FHLMC	Federal Home Loan Mortgage Corporation	FNMA	Federal National Mortgage Association
GAN	Grant Anticipation Notes	GIC	Guaranteed Investment Contract
GNMA	Government National Mortgage Association	GO	General Obligation
IDC	Industrial Development Corporation	LIBOR	London Interbank Offered Rate
LOC	Letter of Credit	LR	Lease Revenue
NAN	Note Anticipation Notes	MFHR	Multi-Family Housing Revenue
MFMR	Multi-Family Mortgage Revenue	MUNIPSA	Securities Industry and Financial Markets Association Municipal Swap Index Yield
OBFR	Overnight Bank Funding Rate	PILOT	Payment in Lieu of Taxes
PRIME	Prime Lending Rate	PUTTERS	Puttable Tax-Exempt Receipts
RAC	Revenue Anticipation Certificates	RAN	Revenue Anticipation Notes
RIB	Residual Interest Bonds	SFHR	Single Family Housing Revenue
SFMR	Single Family Mortgage Revenue	SOFR	Secured Overnight Financing Rate
TAN	Tax Anticipation Notes	TRAN	Tax and Revenue Anticipation Notes
U.S. T-Bill	U.S. Treasury Bill Money Market Yield	XLCA	XL Capital Assurance

See notes to financial statements.

STATEMENT OF ASSETS AND LIABILITIES

April 30, 2021



	Cost	Value
Assets ($):
Investments in securities—See Statement of Investments	117,378,587	126,322,364
Cash		902,662
Interest receivable		1,385,645
Receivable for shares of Beneficial Interest subscribed		4,275
Prepaid expenses		27,256
		128,642,202
Liabilities ($):
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 3(c)		74,309
Payable for investment securities purchased		578,030
Payable for shares of Beneficial Interest redeemed		35,627
Trustees’ fees and expenses payable		668
Other accrued expenses		65,942
		754,576
Net Assets ($)		127,887,626
Composition of Net Assets ($):
Paid-in capital		117,861,523
Total distributable earnings (loss)		10,026,103
Net Assets ($)		127,887,626


Net Asset Value Per Share	Class A	Class C	Class Z
Net Assets ($)	25,427,464	14,362	102,445,800
Shares Outstanding	2,123,046	1,214	8,553,810
Net Asset Value Per Share ($)	11.98	11.83	11.98

See notes to financial statements.

STATEMENT OF OPERATIONS

Year Ended April 30, 2021




Investment Income ($):
Interest Income					3,756,399
Expenses:
Management fee—Note 3(a)					704,673
Professional fees					114,379
Shareholder servicing costs—Note 3(c)					111,726
Registration fees					43,900
Chief Compliance Officer fees—Note 3(c)					15,021
Prospectus and shareholders’ reports					12,334
Trustees’ fees and expenses—Note 3(d)					9,506
Loan commitment fees—Note 2					4,559
Custodian fees—Note 3(c)					2,902
Distribution fees—Note 3(b)					306
Miscellaneous					22,299
Total Expenses					1,041,605
Less—reduction in fees due to earnings credits—Note 3(c)					(2,902)
Net Expenses					1,038,703
Investment Income—Net					2,717,696
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($):
Net realized gain (loss) on investments					934,605
Net change in unrealized appreciation (depreciation) on investments					6,695,527
Net Realized and Unrealized Gain (Loss) on Investments					7,630,132
Net Increase in Net Assets Resulting from Operations					10,347,828

See notes to financial statements.

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended April 30,
	2021	2020
Operations ($):
Investment income—net	2,717,696	3,262,775
Net realized gain (loss) on investments	934,605	977,067
Net change in unrealized appreciation (depreciation) on investments	6,695,527	(3,363,706)
Net Increase (Decrease) in Net Assets Resulting from Operations	10,347,828	876,136
Distributions ($):
Distributions to shareholders:
Class A	(523,570)	(520,159)
Class C	(215)	(3,281)
Class Z	(2,542,455)	(2,731,151)
Total Distributions	(3,066,240)	(3,254,591)
Beneficial Interest Transactions ($):
Net proceeds from shares sold:
Class A	3,915,261	1,819,045
Class C	42	466
Class Z	4,002,902	2,801,669
Distributions reinvested:
Class A	409,451	404,275
Class C	67	2,325
Class Z	1,990,190	2,103,068
Cost of shares redeemed:
Class A	(2,059,315)	(3,351,971)
Class C	(100,057)	(228,603)
Class Z	(10,432,048)	(14,975,594)
Increase (Decrease) in Net Assets from Beneficial Interest Transactions	(2,273,507)	(11,425,320)
Total Increase (Decrease) in Net Assets	5,008,081	(13,803,775)
Net Assets ($):
Beginning of Period	122,879,545	136,683,320
End of Period	127,887,626	122,879,545
Capital Share Transactions (Shares):
Class A
Shares sold	329,741	154,933
Shares issued for distributions reinvested	34,437	34,456
Shares redeemed	(172,947)	(289,989)
Net Increase (Decrease) in Shares Outstanding	191,231	(100,600)
Class C
Shares sold	3	40
Shares issued for distributions reinvested	6	198
Shares redeemed	(8,434)	(19,234)
Net Increase (Decrease) in Shares Outstanding	(8,425)	(18,996)
Class Z
Shares sold	339,863	238,401
Shares issued for distributions reinvested	167,443	179,226
Shares redeemed	(877,556)	(1,307,159)
Net Increase (Decrease) in Shares Outstanding	(370,250)	(889,532)

See notes to financial statements.

FINANCIAL HIGHLIGHTS




		Year Ended April 30,
Class A Shares	2021	2020	2019	2018	2017
Per Share Data ($):
Net asset value, beginning of period	11.31	11.51	11.27	11.48	11.94
Investment Operations:
Investment income—net^a	.23	.26	.28	.29	.29
Net realized and unrealized gain (loss) on investments	.70	(.20)	.24	(.21)	(.46)
Total from Investment Operations	.93	.06	.52	.08	(.17)
Distributions:
Dividends from investment income—net	(.23)	(.26)	(.28)	(.29)	(.29)
Dividends from net realized gain on investments	(.03)	−	−	−	(.00)^b
Total Distributions	(.26)	(.26)	(.28)	(.29)	(.29)
Net asset value, end of period	11.98	11.31	11.51	11.27	11.48
Total Return (%)^c	8.25	.46	4.72	.65	(1.40)
Ratios/Supplemental Data (%):
Ratio of total expenses to average net assets	1.03	1.01	.99	1.00	.96
Ratio of net expenses to average net assets	1.03	1.01	.99	.99	.96
Ratio of net investment income to average net assets	1.90	2.22	2.51	2.47	2.48
Portfolio Turnover Rate	13.31	16.48	4.67	10.68	11.70
Net Assets, end of period ($ x 1,000)	25,427	21,847	23,396	24,569	26,487

^a Based on average shares outstanding.

^b Amount represents less than $.01 per share.

^cExclusive of sales charge.

See notes to financial statements.




		Year Ended April 30,
Class C Shares	2021	2020	2019	2018	2017
Per Share Data ($):
Net asset value, beginning of period	11.31	11.52	11.27	11.49	11.95
Investment Operations:
Investment income—net^a	.04	.15	.18	.19	.20
Net realized and unrealized gain (loss) on investments	.53	(.22)	.25	(.22)	(.46)
Total from Investment Operations	.57	(.07)	.43	(.03)	(.26)
Distributions:
Dividends from investment income—net	(.02)	(.14)	(.18)	(.19)	(.20)
Dividends from net realized gain on investments	(.03)	−	−	−	(.00)^b
Total Distributions	(.05)	(.14)	(.18)	(.19)	(.20)
Net asset value, end of period	11.83	11.31	11.52	11.27	11.49
Total Return (%)^c	5.08	(.64)	3.83	(.22)	(2.27)
Ratios/Supplemental Data (%):
Ratio of total expenses to average net assets	2.61	1.99	1.93	1.81	1.76
Ratio of net expenses to average net assets	2.61	1.99	1.93	1.80	1.76
Ratio of net investment income to average net assets	.32	1.27	1.57	1.63	1.69
Portfolio Turnover Rate	13.31	16.48	4.67	10.68	11.70
Net Assets, end of period ($ x 1,000)	14	109	330	367	1,472

^a Based on average shares outstanding.

^b Amount represents less than $.01 per share.

^cExclusive of sales charge.

See notes to financial statements.

FINANCIAL HIGHLIGHTS (continued)




		Year Ended April 30,
Class Z Shares	2021	2020	2019	2018	2017
Per Share Data ($):
Net asset value, beginning of period	11.31	11.51	11.27	11.48	11.94
Investment Operations:
Investment income—net^a	.26	.29	.31	.31	.32
Net realized and unrealized gain (loss) on investments	.70	(.20)	.24	(.21)	(.46)
Total from Investment Operations	.96	.09	.55	.10	(.14)
Distributions:
Dividends from investment income—net	(.26)	(.29)	(.31)	(.31)	(.32)
Dividends from net realized gain on investments	(.03)	−	−	−	(.00)^b
Total Distributions	(.29)	(.29)	(.31)	(.31)	(.32)
Net asset value, end of period	11.98	11.31	11.51	11.27	11.48
Total Return (%)	8.54	.69	4.96	.95	(1.26)
Ratios/Supplemental Data (%):
Ratio of total expenses to average net assets	.76	.78	.76	.78	.73
Ratio of net expenses to average net assets	.76	.78	.76	.77	.72
Ratio of net investment income to average net assets	2.17	2.45	2.74	2.69	2.72
Portfolio Turnover Rate	13.31	16.48	4.67	10.68	11.70
Net Assets, end of period ($ x 1,000)	102,446	100,923	112,958	118,120	125,381

^a Based on average shares outstanding.

^b Amount represents less than $.01 per share.

See notes to financial statements.

NOTES TO FINANCIAL STATEMENTS

NOTE 1—Significant Accounting Policies:

BNY Mellon Massachusetts Fund (the “fund”) is a separate non-diversified series of BNY Mellon State Municipal Bond Funds (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective is to seek to maximize current income exempt from federal income tax and from Massachusetts state income tax, without undue risk. BNY Mellon Investment Adviser, Inc. (the “Adviser”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser.

On February 10, 2021, BNY Mellon Investment Management announced its intention to realign several of its investment firms. As a result of this realignment, which is scheduled to occur, subject to regulatory requirements, in the third quarter of 2021 (the “Effective Date”), portfolio managers responsible for managing the fund’s investments who are employees of Mellon Investments Corporation (“Mellon”) in a dual employment arrangement with the Adviser, will become employees of Insight North America LLC (“INA”), which, like Mellon , is an affiliate of the Adviser, and will no longer be employees of Mellon. Consequently, effective as of the Effective Date and subject to the approval of the Trust’s Board of Trustees (the “Board”), the Adviser will engage INA to serve as the fund’s sub-adviser, pursuant to a sub-investment advisory agreement between the Adviser and INA. As the fund’s sub-adviser, INA will provide the day-to-day management of the fund’s investments, subject to the Adviser’s supervision and approval. It is currently anticipated that the fund’s portfolio managers who are responsible for the day-to-day management of the fund’s investments will continue to manage the fund’s investments as of the Effective Date. It is also currently anticipated that there will be no material changes to the fund’s investment objective, strategies or policies, no reduction in the nature or level of services provided to the fund, and no increase in the management fee payable by the fund as a result of the engagement of INA as the fund’s sub-adviser. The Adviser (and not the fund) will pay INA for its sub-advisory services.

BNY Mellon Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Adviser, is the distributor of the fund’s shares. The fund is authorized to issue an unlimited number of $.001 par value shares of Beneficial Interest in each of the following classes of shares: Class A, Class C and Class Z. Class A shares generally are subject to a sales charge

NOTES TO FINANCIAL STATEMENTS (continued)

imposed at the time of purchase. Class A shares bought without an initial sales charge as part of an investment of $1 million or more may be charged a contingent deferred sales charge (“CDSC”) of 1.00% if redeemed within one year. Class C shares are subject to a CDSC imposed on Class C shares redeemed within one year of purchase. Class C shares automatically convert to Class A shares eight years after the date of purchase, without the imposition of a sales charge. Class Z shares are sold at net asset value per share to certain shareholders of the fund. Class Z shares generally are not available for new accounts. Other differences between the classes include the services offered to and the expenses borne by each class, the allocation of certain transfer agency costs, and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.

As of April 30, 2021, MBC Investments Corp., an indirect subsidiary of BNY Mellon, held 882 Class C shares of the fund.

Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:

Level 1—unadjusted quoted prices in active markets for identical investments.

Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).

Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:

The Service is engaged under the general oversight of the Board.

NOTES TO FINANCIAL STATEMENTS (continued)

For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.

The following is a summary of the inputs used as of April 30, 2021 in valuing the fund’s investments:


	Level 1-Unadjusted Quoted Prices	Level 2- Other Significant Observable Inputs	Level 3-Significant Unobservable Inputs	Total
Assets ($)
Investments In Securities:^†
Municipal Securities	-	126,322,364	-	126,322,364

^† See Statement of Investments for additional detailed categorizations, if any.

(c) Risk: Certain events particular to the industries in which the fund’s investments conduct their operations, as well as general economic, political

NOTES TO FINANCIAL STATEMENTS (continued)

Each tax year in the four-year period ended April 30, 2021 remains subject to examination by the Internal Revenue Service and state taxing authorities.

At April 30, 2021, the components of accumulated earnings on a tax basis were as follows: undistributed tax-exempt income $142,998, undistributed capital gains $934,363 and unrealized appreciation $8,948,742.

The tax character of distributions paid to shareholders during the fiscal periods ended April 30, 2021 and April 30, 2020 were as follows: tax-exempt income $2,714,221 and $3,254,591 and long-term capital gains $352,019 and $0, respectively.

During the period ended April 30, 2021, as a result of permanent book to tax differences, primarily due to the tax treatment for amortization adjustments, the fund increased total distributable earnings (loss) by $135,016 and decreased paid-in capital by the same amount. Net assets and net asset value per share were not affected by this reclassification.

NOTE 2—Bank Lines of Credit:

financing of redemptions (each, a “Facility”). The Citibank Credit Facility is available in two tranches: (i) Tranche A is in an amount equal to $688.5 million and is available to all long-term open-ended funds, including the fund, and (ii) Tranche B is an amount equal to $135 million and is available only to BNY Mellon Floating Rate Income Fund, a series of BNY Mellon Investment Funds IV, Inc. Prior to September 30, 2020, the Citibank Credit Facility was $927 million with Tranche A available in an amount equal to $747 million and Tranche B available in an amount equal to $180 million. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for Tranche A of the Citibank Credit Facility and the BNYM Credit Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing. During the period ended April 30, 2021, the fund did not borrow under the Facilities.

NOTE 3—Management Fee and Other Transactions with Affiliates:

(a) Pursuant to a management agreement with the Adviser, the management fee is computed at the annual rate of .55% of the value of the fund’s average daily net assets and is payable monthly.

During the period ended April 30, 2021, the Distributor retained $63 from commissions earned on sales of the fund’s Class A shares.

(c) Under the Shareholder Services Plan, Class A and Class C shares pay the Distributor at an annual rate of .25% of the value of their average daily net assets for the provision of certain services. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (securities dealers, financial institutions or other industry professionals) with respect to these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2021, Class A and Class C shares were charged $60,071 and $102, respectively, pursuant to the Shareholder Services Plan.

Under the Shareholder Services Plan, Class Z shares reimburse the Distributor at an amount not to exceed an annual rate of .25% of the value

NOTES TO FINANCIAL STATEMENTS (continued)

of Class Z shares’ average daily net assets for the provision of certain services. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding Class Z shares and providing reports and other information, and services related to the maintenance of shareholder accounts. During the period ended April 30, 2021, Class Z shares were charged $1,264 pursuant to the Shareholder Services Plan.

The fund compensates BNY Mellon Transfer, Inc., a wholly-owned subsidiary of the Adviser, under a transfer agency agreement for providing transfer agency and cash management services inclusive of earnings credits, if any, for the fund. The majority of transfer agency fees are comprised of amounts paid on a per account basis, while cash management fees are related to fund subscriptions and redemptions. During the period ended April 30, 2021, the fund was charged $30,529 for transfer agency services, inclusive of earnings credit, if any. These fees are included in Shareholder servicing costs in the Statement of Operations.

The fund compensates The Bank of New York Mellon under a shareholder redemption draft processing agreement for providing certain services related to the fund’s check writing privilege. During the period ended April 30, 2021, the fund was charged $1,532 pursuant to the agreement, which is included in Shareholder servicing costs in the Statement of Operations.

The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates” in the Statement of Assets and Liabilities consist of: management fees of $57,654, Distribution Plan fees of $9, Shareholder Services Plan fees of $5,180, custodian fees of $1,046, Chief Compliance Officer fees of $5,242 and transfer agency fees of $5,178.

(d) Each Board member also serves as a Board member of other funds in the BNY Mellon Family of Funds complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.

NOTE 4—Securities Transactions:

The aggregate amount of purchases and sales of investment securities, excluding short-term securities, during the period ended April 30, 2021, amounted to $16,740,657 and $18,134,224, respectively.

At April 30, 2021, the cost of investments for federal income tax purposes was $117,373,622; accordingly, accumulated net unrealized appreciation on investments was $8,948,742, consisting of $9,040,084 gross unrealized appreciation and $91,342 gross unrealized depreciation.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of BNY Mellon Massachusetts Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of BNY Mellon Massachusetts Fund (the “Fund”) (one of the funds constituting BNY Mellon State Municipal Bond Funds), including the statement of investments, as of April 30, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting BNY Mellon State Municipal Bond Funds) at April 30, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

We have served as the auditor of one or more investment companies in the BNY Mellon Family of Funds since at least 1957, but we are unable to determine the specific year.

New York, New York
June 24, 2021

IMPORTANT TAX INFORMATION (Unaudited)

In accordance with federal tax law, the fund hereby reports all the dividends paid from investment income-net during its fiscal year ended April 30, 2021 as “exempt-interest dividends” (not subject to regular federal income tax, and for individuals who are Massachusetts residents, Massachusetts personal income taxes). Where required by federal tax law rules, shareholders will receive notification of their portion of the fund’s taxable ordinary dividends (if any), capital gains distributions (if any) and tax-exempt dividends paid for the 2021 calendar year on Form 1099-DIV which will be mailed in early 2022. The fund also hereby reports $0.0330 per share as a long-term capital gain distribution paid on December 23, 2020.

BOARD MEMBERS INFORMATION (Unaudited)

INDEPENDENT BOARD MEMBERS

Joseph S. DiMartino (77)

Chairman of the Board (1995)

Principal Occupation During Past 5 Years:

· Director or Trustee of funds in the BNY Mellon Family of Funds and certain other entities (as described in the fund’s Statement of Additional Information) (1995-Present)

Other Public Company Board Memberships During Past 5 Years:

· CBIZ, Inc., a public company providing professional business services, products and solutions, Director (1997-Present)

No. of Portfolios for which Board Member Serves: 106

———————

Francine J. Bovich (69)

Board Member (2012)

Principal Occupation During Past 5 Years:

· Trustee, The Bradley Trusts, private trust funds (2011-Present)

Other Public Company Board Memberships During Past 5 Years:

· Annaly Capital Management, Inc., a real estate investment trust, Director (2014-Present)

No. of Portfolios for which Board Member Serves: 63

———————

Peggy C. Davis (78)

Board Member (1990)

Principal Occupation During Past 5 Years:

· Shad Professor of Law, New York University School of Law (1983-present)

No. of Portfolios for which Board Member Serves: 38

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Nathan Leventhal (78)

Board Member (1989)

Principal Occupation During Past 5 Years:

· President Emeritus of Lincoln Center for the Performing Arts (2001-Present)

· President of the Palm Beach Opera (2016-Present)

Other Public Company Board Memberships During Past 5 Years:

· Movado Group, Inc., a public company that designs, markets and distributes watches, Director (2003-2020)

No. of Portfolios for which Board Member Serves: 42

———————

Robin A. Melvin (57)

Board Member (2012)

Principal Occupation During Past 5 Years:

· Trustee, Westover School, a private girls’ boarding school in Middlebury, Connecticut (2019-Present)

· Co-chairman, Mentor Illinois, a non-profit organization dedicated to increasing the quality of mentoring services in Illinois (2014–2020); Board member, Mentor Illinois (2013-2020)

No. of Portfolios for which Board Member Serves: 85

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Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80. The address of the Board Members and Officers is c/o BNY Mellon Investment Adviser, Inc. 240 Greenwich Street, New York, New York 10286. Additional information about the Board Member is available in the fund’s Statement of Additional Information which can be obtained from the Adviser free of charge by calling this toll free number: 1-800-373-9387.