Are those last season's leaves? If so, they look about what one would expect them to at this time of year. While hellebores - in particular, H. x hybridus (oriental hybrids) - do maintain a certain amount of green foliage throughout the year, I'd not consider them 'evergreen' in the same sense that conifers or many broadleafed shrubs are evergreen - the leaves do die off after about a season or so. Many (most?) growers cut off the old foliage each winter just as the new growth is beginning to emerge from the ground.

They are prone to some fungal diseases, most notably hellebore leaf spot, but your photo doesn't really show specific signs of that. Cutting off the old foliage each winter is also a very good way of controlling this problem as well.

ggal, yes those are last years leaves. Thanks for helping, I am still pretty new to all this. So, should I just go ahead and remove ALL of the foliage from last year? I do see new foliage and flowers just starting to emerge from the ground.

Yep :-)

I usually cut off all of last years leaves when I start to see the first buds of the year, usually around January.
If you leave the damaged leaves you are taking a chance of fungus traveling up into the flowers. Removing the old leaves also gives you a better chance to enjoy the flowers as they come up.
Mary/Gainesville, GA