Which ones of these sentences sound correct? Do they have the same meaning? The second sentence suggests the neighbours visited more than one place.
My neighbours are back!
Where did they go?
Where have they been?
Where were they?
They all mean the same thing and could be used. "Where have they been?" is the most likely, followed by "Where did they go?" (although that would sound better as the response to "My neighbours are back from their holiday"). The third is the least likely, in BrE at least.