We analyze the dynamics of Josephson vortex states in two-component Bose-Einstein condensates with Rashba-Dresselhaus spin-orbit coupling by using the Gross-Pitaevskii equation. In 1D, both in homogeneous and harmonically trapped systems, we report on stationary states containing doubly charged, static Josephson vortices. In multidimensional systems, we find stable Josephson vortices in a regime of parameters typical of current experiments with $^{87}$Rb atoms. In addition, we discuss the instability regime of Josephson vortices in disk-shaped condensates, where the snake instability operates and vortex dipoles emerge. We study the rich dynamics that they exhibit in different regimes of the spin-orbit coupled condensate depending on the orientation of the Josephson vortices.