Yes, it is important to catch up on years of tax returns that were not filed. Typically, the IRS only goes back three years of filed tax returns for audits unless they find fraud taking place. However, if you have not filed tax returns, the IRS can go back indefinitely to audit outstanding tax debt and collect. All outstanding amounts can incur penalties and interest; for example, if you owe $10k over 10 years ago, with penalties and interest accruing, it can become a costly bill when the IRS comes to collect.