A: Interrogate the prisoners.
B: I already have. They said/ have said they knew/know nothing.
Am I supposed to use the present perfect because I used "I already have" and not "I already did"?
No, the present perfect is often followed by the past simple, when you give more details regarding what happened. " In the reported sentence you can use the past simple (the reporting verb is in the past) or the present simple, if the situation hasn't changed (they still know nothing).
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No, the present perfect is often followed by the past simple, when you give more details regarding what happened.
You can say "They said they knew / know nothing."
In the reported sentence you can use the past simple (the reporting verb is in the past) or the present simple, if the situation hasn't changed (they still know nothing).