They are my family members✓ they are +plural

It depends on the context of the situation. You can say, “These are my family members” if you’re introducing your family to someone, whether a stranger or friend, who doesn’t know them. It’s only correct if you add ‘s’ to member in the sentence, so it becomes ‘members’. Otherwise, it has a grammar error. “They are my family members” can be used when reinforcing the idea that the persons of interest are related to you. It could also be used as an introductory statement, if asked about the relationship between you and a set of individuals.