Yes, if they're not in English. Self-employment income for the spouse visa financial requirement is assessed over full financial years and evidenced with documents including tax returns and proof of tax paid, so any foreign-language returns and assessments need certified translation.
The self-employed routes under Appendix FM look at income over the last full financial year, or an average of the last two, rather than recent payslips. The evidence list is longer than for employed sponsors and typically includes tax returns, evidence of tax paid, business bank statements and, depending on the business, accounts. Read the current Appendix FM-SE guidance for your exact list, or take advice, but expect every non-English document on it to need translating.
The distinction between a return and an assessment matters. The return is what you declared; the assessment (a French avis d'imposition, a German Steuerbescheid) is the authority's confirmation of it. Where you have both, translating both gives a caseworker the strongest evidence.