The program is a State-led initiative.
The program is a state lead initiative.
The program is a state led initiative.
I have seen all three forms.
Thank you for your research and advice.

The program is a state-led initiative.

The program is a state led initiative.

None of the ones you have, Jadhouse has the best choice: state-led.

When used as a compound expression which is an attributive, a term such as "state-led' should be made into one unit by the hyphen.

In some instances, 'State-led' may be the preferred form. That would occur when a specific state is involved and the 'State' is short for the full name. For example: In the State of Iowa, the program is a State-led initiative.