I had my oil changed at Pep Boys on Sunday. Drove home and did not use the car again till Tuesday, On Tuesday I drove about 40 miles but could smell burnt oil and say smoke from under the hood. I had assumed they did a bad job and spilled oil on the engine. But it did not stop. So when I got home I found they had seriously over filled the oil. My It was about two inches too high on the dip stick.

I took it back and they change it again, but of course are claiming it was not over filled, that I had a wrong dip stick and so on.

Now it is fine, no oil splatter

The question is, could this have caused damage to the engine, Is there something I need to check or have checked.

Significant overfilling is actually more dangerous than slightly underfilling. Overfilling can result in significant engine damage. Typically, the crankshaft, now bathed in excess oil, causes the oil to foam. The oil pump no longer pumps a solid stream of oil; instead, it pumps air and oil. The valves and camshaft are last on the oil train and usually the first to go, when there is a lubrication problem--cam lobe pressures can exceed 130,000 psi. Lack of proper lubrication can cause them to grind down fast. Excess oil also generates excess heat and pressure, which can blow out seals; e.g. main engine, camshaft, and oil filter seals. Look for any oil leaking from these seals. Also, listen for any unusual valve noise. Remove the oil filler cap and examine the top of the camshaft lobes--look for any unusual wear. If you are concerned enough, check the oil pressure at idle and at 3,000 rpm, when the engine is at normal operating temperature. This will help you assess any crankshaft journal damage.

My gut tells me you'll be okay. It's a shame no place has 100% competent workers anymore.
Once that text message comes through, all attention goes to that. Never mind what I was doing. Know what I'm saying?
Yes aerated lubricants can be a bad thing. To the pump it's like sucking a Slurpee through a straw, verses a regular soft drink.
Take pictures and video if you carry that sort of thing when things go wrong with your car after leaving a repair facility.
IE: like you said you saw smoke from under the hood.
Shove it in their faces and make them wise up and put some pride back in their work!
Rant over.