Truth is, outside of Japan Marth is only in one game, and that game is Super Smash Bros. Meele. The same goes Roy, not counting a short cameo appearance he makes at the end of The Blazing Sword. Their games just didn’t make it to North America, Australia, or Europe.
So what games are they in?
Marth is the hero in two games in Japan. One is called The Dragon of Darkness and the Sword of Light on the Famicom (Japanese NES), the very first Fire Emblem ever. The second game is The Mystery of the Emblem on the Super Famicom (Japanese SNES), which included a remake of the first game.
Roy was only the hero of one game, and that game was The Sword of Seals, which happens to take place before The Blazing Sword, which was the first Fire Emblem game to make it outside of Japan.
“Is that Red-Haired Guy in the GameBoy Fire Emblem Roy?”
No, that’s not Roy, that’s his father, Eliwood. Roy does make a minor cameo at the very end, however.
“But isn’t that Marth in the Gamecube Fire Emblem?”
No, that’s Ike. And before you ask, they’re not related.