I 'think' you only amned one of them from Single to MFJ, but how the other Single return and it's resulting refund/bal due gets nullified in this situation, I'm not sure.

Oh and you wont be able to EF the amendment, it will have to be paper filed. Filing status change is one of the things that disallows EF.

If they were filing  single when they were married then the original return is completely wrong and if they did it this way to take advantage of certain tax breaks they would not be entitlled to then in my opinion the first return is fraud and I would stay clear of this matter if I were you unless you were the one who prepared the origional tax return knowing the they were actually married. If that is the case you both need a good attorney.

They had been filing as single in a different location and when they came to me, I filed their first MFJ return, now I'm wondering how to go about amending previous years. Should I just amend one of their returns? 

I would do a new original MFJ return and write "Amending For Correct Filing Status" across the top.  IRS will sort it out.  How far back did you plan on going?  There's a rule about that.