They had a lot of the Old Testament out of which Jesus had taught them, and the Book of James was written circa 45 AD, Matthew's Gospel, Thessalonians and Galatians circa 51 AD and those all started circulating immediately.
With the time required from 4 to 6 months in hand copying a Bible with the Old and New Testaments - now this is the complete one, mind you - how many Bibles do you think that the primitive and relatively poor Christian Church had circulating?
Dear friend, for one minute, close your eyes and transport yourself back to the 1st century. (Hollywood has produced some fine examples of what life was like back then). There were no printing presses. A 'book' was written on parchment and scribes may have made copies. To 'circulate' anything back then, required land transportation.
The Book of James is actually a 'letter' addressed to "the twelve tribes in the dispersion.", Jewish Christian churches located in Palestine, Syria, and elsewhere. It belongs to the genre of parenesis or exhortation and is concerned almost exclusively with ethical conduct. It therefore falls within the tradition of Jewish wisdom literature, such as can be found in the Old Testament (Proverbs, Sirach) and in the extracanonical Jewish literature (Testaments of the Twelve Patriarchs, the Books of Enoch, the Manual of Discipline found at Qumran). More specifically, it consists of sequences of didactic proverbs, comparable to Tobit 4:5-19, to many passages in Sirach, and to sequences of sayings in the synoptic gospels. Recent interpreters assign James to the period A.D. 90-100
For those christians marching into the Coliseum, there were only fragmentary scraps of Scripture. The New Testament had not been written and the Canon had not been compiled. These new christians went to their death based on oral tradition.