How can I show-not-tell my players that they are The Bad Guys?

My players have an interesting habit of changing their behavior on a dime. Between objectives, they’ll be trying to fix problems at small towns they pass through and helping the locals, but once they have an objective, they’re fine with taking shake-down jobs for money or services. It’s come to a head recently when the players tried to cross a border from their home country (A) to a new one (B), where the tensions between countries are rising, and were arrested and detained for having forged their papers to cross. When given the opportunity, they fought their way out, slaughtering most of the guards.

However, the guards managed to alert the network, leading to consequences. Country B, fearful that an advanced strike squad from Country A might be punching a hole through its border, prioritizes the capture of my players. The local Quest Giver tells a team of Good-aligned adventurers to apprehend the foul villains who perpetrated this crime. The players narrowly manage to escape being captured by the heroes with the help of an unusual ally of theirs – an ancient evil lich.

To my perspective, their actions line up with “The Bad Guys”. They kill people just doing their jobs when convenient, and essentially follow their own goals above all else when it comes to it. However, they are quite annoyed that the band of heroes (who they percieved as mercenaries, not wholly incorrect) were chasing them and trying to bring them down.

How to do I show my players it's their own damn fault, without making them feel bad?

From this question, I recognize that I need to signpost a little better. To help my players make informed moral decisions, I need to provide more guidance, in part from NPCs giving judgements small and large that tell them how their actions are perceived. For instance, the party of heroes didn’t attempt to talk down the murderous players, so that could certainly have been played better on my end.

My players went from 100% murderous cretins to 100% nonviolent diplomats; how can I achieve a middle ground?

From this question, I take that I need to have the world reflect their actions. However, I already am (making prop letters that the dead guards were carrying on them/having authorities try to apprehend the band of murderers), and the players still see themselves as wronged heroes, suffering the judgment of an unjust government.

I’m fine with them playing how they want to play, and have no problems GMing an evil party. However, I do believe that it would be best for narrative purposes to somehow convey that the world thinks of them as dangerous criminals. Thus, what means do I have to show them that they’re not acting morally?