I checked, and in our state they do not. Lawyers have to get 12 hours CLE training of which one hour is ethics, so lawyer legislators would have some ethics training. However, it was pointed out to me by a lawyer friend that lawyer-client type ethics are different from legislators’ ethics. Freshmen legislators are offered orientation, but it is not required, and apparently ethics training is not part of orientation.
In 2010 a former state representative went to work in the office of a current legislator and was asked to develop an ethics training program to present to incoming freshman legislators. When he announced his presentation, one Republican in the group stood up and announced that he wasn’t going to be subjected to that, he already knew what he was doing . He walked out and the whole contingent of Republican legislators walked out with him. The Democrats all stayed to take the training, but I don't know if it helped. That was five years ago, and I haven’t heard if any ethics training was being offered since then.
I'm not sure it would help, but I believe that all incoming legislative freshmen should have to take ethics training, and that they should have a refresher course each year until they are term-limited out. At least when one got in trouble, he or she couldn't claim ignorance. We have term limits in our state.