I realize now I have materially understated previous years' capital losses. Should I amend previous years before filing for 2019, or should I file 2019 first?

[rjs]

You should file the amended returns for the previous years before you file your 2019 tax return, because the losses from the earlier years will probably affect the amount of capital loss carryover to 2019. Do the returns in order, starting with the oldest.

If you are going back further than 2016, it's too late to get a refund for 2015 or earlier. But you still have to prepare the returns for the earlier years, even if you don't file them, in order to properly calculate the capital loss carryover from year to year. To get a refund for 2016 you must file the amended return by April 15, 2020.

[JohnW222]

Champ rjs, above, is correct. 

You need to file your amended returns for the previous years before you file your current year return, since prior year losses will most likely affect your 2019 return.

Please see the TurboTax Help article "How to amend (change or correct) a return you already filed" for instruction on how to amend your previously-filed tax returns.

Amended returns can’t be e-filed, so your prior-year return amendments need to be mailed.  When you have multiple years of amended returns, mail them all in one package, so that the IRS has them all together for input.