Uncertain where to post this, is this coding correct?

You're right, I missed that. Either way, the led still goes high during the setup.
Modified code, still not looping though

const int fadingled = 9; //fading led pin
int brightness = 0; //brightness of the led
int fadeamount = 1; //how much the led fades
const int colorchange1 = 11; //red dual color pin
const int colorchange2 = 12; //green dual color pin
int colorledstate1 = LOW; //red led state on/off
int colorledstate2 = LOW; //green led state on/off
long previousmillis = 0; //last time LED was updated
long interval = 500; //time between flashes

void setup()   {
  pinMode(fadingled,OUTPUT); //declare all LED's as outputs
  pinMode(colorchange1,OUTPUT);
  pinMode(colorchange2,OUTPUT);
  analogWrite(colorchange1, HIGH);
}

void loop()   {
  analogWrite(colorchange1,colorledstate1); //write to the LED's
  analogWrite(colorchange2,colorledstate2); 
  analogWrite(fadingled, brightness); //set the brightness to the LED
  brightness = brightness + fadeamount; //add or subtract to the brightness based on fadeamount
  if (brightness == 0 || brightness == 255) {
    fadeamount = -fadeamount;
  }
  unsigned long currentmillis = millis();
  if (currentmillis - previousmillis > interval)  { //if it has been more than 500 milliseconds
    previousmillis = currentmillis;
    //turn the led off if it's on and vice versa
    if (colorledstate1 == LOW)  {
      colorledstate1 = HIGH;  }
    else {
      colorledstate1 = LOW;  }
      //if the red LED is on, turn the green LED off and vice versa
  if (colorledstate1 == LOW)  {
    colorledstate2 = HIGH;  
  }
  else {
    colorledstate2 = LOW;
  }
  }
}