House rental income since 2003

Hello
Had a visit today from a person about house rentals.
They have pension income and couple of houses which are rented out. They have never filled in tax returns and it goes back to 2003/2004.
I haven't gone back this far before; I can see doing the last 2 years returns online filing but before that the window is closed so I guess I need to file paper - information? Any immediate things I ought to watch out for going back this far?
Many thanks