I rented a house and paid 500 dollars for a security deposit. The house was sold. But we didn't have to put down another deposit with the new owners. The previous owners never transferred the security deposit to the new owners or to me. Who is supposed to give me my money back. And can I sue them?

The old owners should have turned it over to the new owners as part of the sale contract. If they did not then you would sue your old landlord in Small Claims Court - if, of course, there is no damage. You might also sue the current owners but if you plan to stay there, I don't advise it.

If you sue BOTH of them they can work it out. For example, if you get to Court and the OLD owners have paperwork proving they turned it over to the NEW owners, if you don't sue them both you'll have to go back to Court.