Gone is the past participle of to go. Used as the verb of a sentence, it must always be preceded by an auxiliary verb such as has, have, had, is, am, are, was, were, be, or one of their contractions.
Went is the past tense of to go. It never takes an auxiliary verb.
Incorrect: They gone to the movies.
(Gone needs an auxiliary verb.)
Correct: They have gone to the movies.
Correct: They are gone to the movies.
Correct: They went to the movies.
Incorrect: You could have went with them.
(Went takes no auxiliary verb.)
Correct: You could have gone with them.