The split is redundant to the align. Simply use \notag to avoid putting an equation number on any particular line.
\documentclass{article}
\usepackage{amsmath}
\begin{document}
\begin{align} %start alignment between state and observation equation
%State Equation
%\begin{split} %split the observation equation in two so it fits on the page
\begin{bmatrix}
a\\
b\\
c
\end{bmatrix}
&= %This & is to align the state and observation equation
\begin{bmatrix}
a&b\\
b&c\\
d&e
\end{bmatrix}
\begin{bmatrix}
a\\
b\\
c
\end{bmatrix} \notag \\ %split here
&\quad +
\begin{bmatrix}
a&b\\
b&c\\
c&d
\end{bmatrix}
\begin{bmatrix}
a\\
b\\
c\\
\end{bmatrix} +
\begin{bmatrix}
a\\
b
\end{bmatrix} a
\\ %This \\ is to split the state and observation equation
%Observation Equation
a &= %This & is to align the state and observation equation
\begin{bmatrix}
a & b
\end{bmatrix}
\begin{bmatrix}
a\\
b
\end{bmatrix}
\end{align}
\end{document}
Best Answer
Quick fix: