I'm just curious. Saw some funny videos and now I want to know if they have ever been in any combat.
Just for the record you mean the UK?
If that is the case the various Guards regiments have a long history of active service, various Guards Battalions have serverd since their formations.
Being the oldest, the Coldstream Guards and Grenadier Guards have fought in every conflict since the English Civil War. Notably in the Napoleonic Wars in Spain all the way to Waterloo, in the Crimea, on the Western Front of WW1, in WW2 in North Africa and Italy with some battalions being formed into an armor division.
Following that they served in various deployments to Northern Ireland, the Welsh Guards served in the Falklands, and every Guards Regiment has deployed to Afghanistan and Iraq.
Yes all the time.
The guards at places like Buckingham Palace, Windsor Castle etc. are all "proper" regular soldiers, who do ceremonial duties as a temporary duty rotating between wearing bearskins and standing outside a royal residence between training for war and fighting. A guard outside of Buckingham Palace may well have been in Afghanistan, Iraq etc.
Most of the ceremonial guards come from the Guards (edit: occasionally ceremonial troops may come from regular infantry battalions/super regiments) which includes the:
Infantry:
Grenadier Guards
Coldstream Guards
Scots Guards
Irish Guards
Welsh Guards
Cavalry:
Life Guards
Blues and Royals (Royal Horse Guards and 1st Dragoons) .
Royal Armoured Corps
1st The Queen's Dragoon Guards
Royal Dragoon Guards
Royal Scots Dragoon Guards
All of these regiments have histories going back hundreds of years and have numerous battle honours. eg. The Coldstream Guards have earned 117 battle honours:
Tangier 1680, Namur 1695, Gibraltar 1704–1705, Oudenarde, Malplaquet, Dettingen, Lincelles, Egypt, Talavera, Barrosa, Fuentes d'Onor, Salamanca, Nive, Peninsula, Waterloo, Alma, Inkerman, Sevastopol, Tel-el-Kebir, Egypt 1882, Suakin 1885, Modder River, South Africa 1899–1902
The Great War (5 battalions): Mons, Retreat from Mons, Marne 1914, Aisne 1914, Ypres 1914 '17, Langemarck 1914, Gheluvelt, Nonne Bosschen, Givenchy 1914, Neuve Chapelle, Aubers, Festubert 1915, Loos, Mount Sorrel, Somme 1916 '18, Flers-Courcelette, Morval, Pilckem, Menin Road, Poelcappelle, Passchendaele, Cambrai 1917 '18, St. Quentin, Bapaume 1918, Arras 1918, Lys, Hazebrouck, Albert 1918, Scarpe 1918, Drocourt-Quéant, Hindenburg Line, Havrincourt, Canal du Nord, Selle, Sambre, France and Flanders 1914–1918
The Second World War: Dyle, Defence of Escaut, Dunkirk 1940, Cagny, Mont Pincon, Quarry Hill, Estry, Heppen, Nederrijn, Venraij, Meijel, Roer, Rhineland, Reichswald, Cleve, Goch, Moyland, Hochwald, Rhine, Lingen, Uelzen, North-West Europe 1940 '44–45, Egyptian Frontier 1940, Sidi Barrani, Halfaya 1941, Tobruk 1941-42, Msus, Knightsbridge, Defence of Alamein Line, Medenine, Mareth, Longstop Hill 1942, Sbiba, Steamroller Farm, Tunis, Hammam Lif, North Africa 1940–1943, Salerno, Battipaglia, Cappezano, Volturno Crossing, Monte Camino, Calabritto, Garigliano Crossing, Monte Ornito, Monte Piccolo, Capture of Perugia, Arezzo, Advance to Florence, Monte Domini, Catarelto Ridge, Argenta Gap, Italy 1943–1945
Gulf 1991
Just to reinforce the point raised by the other two commenters ... the reason that the Welsh Guards (and the Scots Guards) were available to move to the Falklands in 1982 is because at the time they were performing ceremonial duties in London.