You don't need your tax returns. Your tax return does not show who your employer was. That's why the lender is asking for the W-2s. Only the W-2 shows the name of the employer. And the W-2s themselves are not included in the tax return.
If you did not save your W-2s, the only way to get copies of W-2s that old is from the Social Security Administration, as indicated by Mike9241.
