Answer:
They said they had never been there before.
Explanation:
According to the statement, this is Indirect or Reported Speech. It is normally used to talk about the past. So we commonly replace the tense of the words said. Reporting verbs are used. For example, 'say', 'tell', 'ask'. These words are even similar in meaning. Sometimes, we could use the word 'that' to explain the reported words.
