To get specific information you might try:
Ministerio de Planificación Nacional y Política Económica -MIDEPLAN (Español)
or
Dirección General de Migración y ExtranjeriaBut for a general answer, the majority of immigrants in Costa Rica are Nicaraguans (more like migrant works than immigrants though) There is a large segment of Chinese immigrants as well. Recently many Colombians have been arriving as well.
As for other nationalities, the largest group is probably US and Canadians. The figure for US citizens is commonly placed at about 30,000. Sginifican groups of Europeans include Italians, Dutch, German, French and Swiss. Not too many Scandivanians or Eastern Europeans.
For US states the most common are probably California, Florida and New York.