Large language models (LLMs) have been widely deployed in various applications, often functioning as autonomous agents that interact with each other in multi-agent systems. While these systems have shown promise in enhancing capabilities and enabling complex tasks, they also pose significant ethical challenges. This position paper outlines a research agenda aimed at ensuring the ethical behavior of multi-agent systems of LLMs (MALMs) from the perspective of mechanistic interpretability. We identify three key research challenges: (i) developing comprehensive evaluation frameworks to assess ethical behavior at individual, interactional, and systemic levels; (ii) elucidating the internal mechanisms that give rise to emergent behaviors through mechanistic interpretability; and (iii) implementing targeted parameter-efficient alignment techniques to steer MALMs towards ethical behaviors without compromising their performance.